tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300

Class CSI300SimulationDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemo

public class CSI300SimulationDemo
extends Object

Using this example. Configures CSI 300 constituents and local adjusted-price files for a portfolio simulation. The constituent CSV and price directory are independent inputs and must cover compatible dates. The index is downloaded from Eastmoney by default; select Sina with -Dcsi300.indexSource=sina. Optional properties csi300.constituents and csi300.prices override the local constituent-data paths. The index history is cached on disk in ./cache/china-index (override with csi300.indexCache) and validated for calibration coverage before any simulation begins. The default runs buy-and-hold and equal-weight baselines only; opt into the expensive 990-optimizer sweep with -Dcsi300.fullGrid=true. Reported risk-free rates are assumed zero. Set csi300.showCharts=true to open chart windows; PNG export is automatic.

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

Implementation in this tutorial. Reuses rolling portfolio optimization with configured CSI 300 constituents and adjusted prices. A constituent list needs time-consistent membership, and a price history needs coverage for calibration as well as trading. These dataset choices are separate from the underlying optimization theory.

Author:

Ken Yiu

See Also:

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

Constructor Summary

Constructors

Constructor and Description
CSI300SimulationDemo(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
CSI300SimulationDemo(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval, SequentialCacheFactory<ListedProduct,StockEOD> source) Uses a caller-supplied index feed, for reproducible offline tests or another provider.

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)
static <T> String	print(SequentialCache<T> cache, boolean isTimestamp)
int	run()

Methods inherited from class java.lang.Object

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

Constructor Detail

CSI300SimulationDemo

public CSI300SimulationDemo(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval)
                     throws IOException

Throws:

IOException

CSI300SimulationDemo

public CSI300SimulationDemo(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval,
                            SequentialCacheFactory<ListedProduct,StockEOD> source)
                     throws IOException

Uses a caller-supplied index feed, for reproducible offline tests or another provider.

Parameters:

interval - simulation dates

source - daily CSI300 index observations including calibration history

Throws:

IOException - if constituent membership cannot be read

Method Detail

main

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

Throws:

IOException

run

public int run()
        throws IOException

Throws:

IOException

print

public static <T> String print(SequentialCache<T> cache,
                               boolean isTimestamp)