tech.nmfin.algoquant.demo.model.elliott2005

Class MeanReversionBasedOnSpreadQuantileDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.elliott2005.MeanReversionBasedOnSpreadQuantileDemo

@Demo
public class MeanReversionBasedOnSpreadQuantileDemo
extends Object

Runs a Elliott mean reversion strategy, coded up using a template.

Using this example. Chooses MeanReversionBasedOnSpreadQuantile as the customization of an Elliott2005Strategy inside a Yahoo simulation template. Quantile thresholds apply to the modeled spread, not each individual stock price. The report and chart reflect the template settings.

Model and publication. This is an Elliott-style spread strategy with a quantile-based customization. Quantile entry and exit rules are application choices, not a claim to reproduce the publication’s full estimator.

Implementation in this tutorial. MeanReversionBasedOnSpreadQuantile chooses thresholds from the configured spread distribution and is passed into Elliott2005Strategy by a Yahoo template. Coefficients define the traded spread; calibration controls the distribution used for thresholds. Re-estimation and execution assumptions determine the resulting backtest.

Author:

Haksun Li

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
MeanReversionBasedOnSpreadQuantileDemo()

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

MeanReversionBasedOnSpreadQuantileDemo

public MeanReversionBasedOnSpreadQuantileDemo()

Method Detail

main

public static void main(String[] args)

run

public void run()