tech.nmfin.algoquant.demo.model.portfoliooptimization.coin

Class CoinBacktestDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.coin.CoinBacktestDemo

public class CoinBacktestDemo
extends Object

Compares the different asset allocation algorithms.

Using this example. Loads the local crypto-markets CSV ZIP through JesseventCoinDataUtils and compares allocation algorithms. The dataset path is test-data/coin/crypto-markets.csv.zip; its historical coverage and constituent selection constrain the comparison.

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

Implementation in this tutorial. Reuses asset-allocation algorithms on a historical crypto dataset; a crypto universe and rebalancing experiment are not a reproduction of Markowitz’s original illustrations. Inspect listing dates, missing observations and constituent selection before interpreting optimizer comparisons.

Author:

Ken Yiu

See Also:

H. Markowitz (1952), Portfolio Selection, Journal of Finance 7(1), 77–91

Constructor Summary

Constructors

Constructor and Description
CoinBacktestDemo()

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

CoinBacktestDemo

public CoinBacktestDemo()

Method Detail

main

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

Throws:

IOException