tech.nmfin.algoquant.demo.model.factormodel

Class EconomicModelStrategyDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.factormodel.EconomicModelStrategyDemo

@Demo
public class EconomicModelStrategyDemo
extends Object

A demo on running a fundamental factor model trading strategy.

Using this example. Builds a FactorStrategy using economic factors and a rolling data window, then schedules rebalancing and registers account measures. This example needs the configured Compustat/filesystem or SQL data source; public Yahoo prices alone do not supply its factor data. Keep calibration data earlier than the trade decisions when changing windows.

Model and publication. Fama–French is background for the market/size/value factor vocabulary. The linked author documentation defines SMB and HML; this application is not a reproduction of the original stock-and-bond empirical study.

Implementation in this tutorial. FactorExcessBenchmark, FactorSMB and FactorHML feed EconomicFactorModel, which estimates exposures/premia over the configured trailing window. FactorStrategy then uses a chosen optimizer and diversification layer to rebalance. Factor measurement, database construction and reporting dates must be consistent; financial statement availability dates matter. The code’s factor implementations, universe and optimizer choices define this experiment.

Author:

Haksun Li

See Also:

E. F. Fama and K. R. French (1993), Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33(1), 3–56

Constructor Summary

Constructors

Constructor and Description
EconomicModelStrategyDemo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
Results	run(FactoryStrategySimParam simParam, FactorStrategyParam strategyParam)

Methods inherited from class java.lang.Object

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

Constructor Detail

EconomicModelStrategyDemo

public EconomicModelStrategyDemo()

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception

run

public Results run(FactoryStrategySimParam simParam,
                   FactorStrategyParam strategyParam)
            throws Exception

Throws:

Exception