tech.nmfin.algoquant.demo.model.volarb

Class MRModelFixedGridDemo

java.lang.Object

tech.nmfin.algoquant.demo.model.volarb.MRModelFixedGridDemo

@Demo
public class MRModelFixedGridDemo
extends Object

Using this example. Builds a mean-reversion grid on local GainCapital FX history. The grid threshold is a price/spread distance, not a number of days. Basket coefficients, strategy scale and lot settings determine product exposure; inspect those before interpreting P/L.

Model and publication. No single original research publication is claimed for this library/example policy.

Implementation in this tutorial. The fixed-grid variant uses an estimated mean and a grid distance to update a discrete exposure state as the spread diverges or reverts. These are library-specific spread/grid trading policies. A basket converts product prices into a spread; the configured mean-reversion model maps its level or deviation into a desired state, and MeanReversionStrategy translates that state into product orders. Grid distance, periodic/ranged update behavior and scale are distinct controls. The folder name does not mean that option implied volatility is being traded. Mean reversion is an assumption to check, not a property guaranteed by this policy.

Constructor Summary

Constructors

Constructor and Description
MRModelFixedGridDemo()

Method Summary

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

Methods inherited from class java.lang.Object

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

Constructor Detail

MRModelFixedGridDemo

public MRModelFixedGridDemo()

Method Detail

main

public static void main(String[] args)

run

public void run(String dataFolder)