tech.nmfin.algoquant.demo.model.factormodel

Class FundamentalModelStrategyDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.factormodel.FundamentalModelStrategyDemo

@Demo
public class FundamentalModelStrategyDemo
extends Object

A demo on running a fundamental factor model trading strategy.

Using this example. Builds a fundamental-factor portfolio using configured accounting, return and benchmark datasets. Relative and configured paths must resolve to compatible Compustat data; these inputs are distinct from public price downloads. Rebalance frequency and trailing estimation windows control when the model can trade.

Model and publication. Factor models separate asset characteristics/exposures from returns attributable to common drivers. Fama–French is related factor literature, not the source of every characteristic or estimation choice used here.

Implementation in this tutorial. The active FundamentalFactorModel uses FactorSize and FactorGrowth with SIMPLE returns. This differs from EconomicModelStrategyDemo’s market/SMB/HML factor-return specification. FactorStrategyParam supplies rebalance, risk and data-window settings, while the configured accounting dataset supplies characteristics; avoid treating a publication date or revised statement as information available earlier.

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
FundamentalModelStrategyDemo()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
Results	run(FactorStrategyParam param, dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)

Methods inherited from class java.lang.Object

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

Constructor Detail

FundamentalModelStrategyDemo

public FundamentalModelStrategyDemo()

Method Detail

main

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

Throws:

Exception

run

public Results run(FactorStrategyParam param,
                   dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
            throws Exception

Throws:

Exception