tech.nmfin.algoquant.demo.model.elliott2005

Class Elliott2005StrategyDemo1

java.lang.Object

tech.nmfin.algoquant.demo.model.elliott2005.Elliott2005StrategyDemo1

@Demo
public class Elliott2005StrategyDemo1
extends Object

Demonstrates how to use Elliott2005Strategy and customize the strategy.

Using this example. Shows the explicit builder route: load two stock caches, choose a mean-reversion customization, construct Elliott2005Strategy and register report measures. The coefficient vector defines the spread and the calibration window counts observations. Yahoo data and a desktop plotter are required.

Model and publication. The publication describes a latent mean-reverting Gaussian Markov spread observed with noise, allowing state estimation and comparison with the observed spread. Full-text access was unavailable in this audit; this explanation uses the publication abstract and the implementation, not a line-by-line paper verification.

Implementation in this tutorial. The active customization uses fixed coefficients (1,-1), a long-term-mean reference and entry/exit settings 0.4/0.25 on XOM/CVX with 50 calibration observations. The posterior-state and cointegration variants are commented alternatives. Selecting different customization changes what “fair spread” means; the class name does not guarantee that the active rule reproduces the paper’s estimator.

See Also:

R. J. Elliott, J. van der Hoek and W. P. Malcolm (2005), Pairs trading, Quantitative Finance 5(3), 271–276

Constructor Summary

Constructors

Constructor and Description
Elliott2005StrategyDemo1()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
void	run()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

Elliott2005StrategyDemo1

public Elliott2005StrategyDemo1()

Method Detail

main

public static void main(String[] args)

run

public void run()