tech.nmfin.algoquant.demo.model.elliott2005

Class Elliott2005StrategyDemo2

java.lang.Object

tech.nmfin.algoquant.demo.model.elliott2005.Elliott2005StrategyDemo2

@Demo
public class Elliott2005StrategyDemo2
extends Object

Demonstrates another (simpler) way of coding Elliott2005StrategyDemo1 using a template.

Using this example. Expresses the Elliott example as a SimTemplateYahooEOD specification instead of assembling the simulator directly. SimTemplateUtils.run consumes the overridden strategy, products, measures and plotter. Compare this with Elliott2005StrategyDemo1 to learn the two setup styles.

Model and publication. The linked publication supplies the noisy mean-reverting-spread framework. See Elliott2005StrategyDemo1 for the distinction between that framework and the selected customization.

Implementation in this tutorial. The same strategy is assembled through SimTemplateYahooEOD overrides and SimTemplateUtils.run. Follow newStrategy() for the active coefficients and calibration window; measures and execution count are independent template choices. The template is a wiring abstraction, not a different statistical model.

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
Elliott2005StrategyDemo2()

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

Elliott2005StrategyDemo2

public Elliott2005StrategyDemo2()

Method Detail

main

public static void main(String[] args)

run

public void run()