tech.nmfin.algoquant.demo.model.portfoliooptimization

Class PerformanceOptimizedYahooEODPortfolioDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.PerformanceOptimizedYahooEODPortfolioDemo

@Demo
public class PerformanceOptimizedYahooEODPortfolioDemo
extends Object

Using this example. Weights several performance objectives in a PerformanceOptimizedYahooEODPortfolio template and runs the resulting strategy on Yahoo data. The coefficients normalize objectives with different units; their values are not portfolio allocation weights. Optimization and evaluation on shared history can overstate expected performance.

Model and publication. Related theory and the scope of this example are distinguished below.

Implementation in this tutorial. This is an application-level search over weighted performance objectives, not a named single- publication model. The template combines information ratio, profit and drawdown with normalization coefficients. Those objective coefficients are not asset allocation weights, and optimizing a backtest statistic can overfit its sample.

Author:

Haksun Li

Constructor Summary

Constructors

Constructor and Description
PerformanceOptimizedYahooEODPortfolioDemo()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

PerformanceOptimizedYahooEODPortfolioDemo

public PerformanceOptimizedYahooEODPortfolioDemo()

Method Detail

main

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

Throws:

Exception