@Demo public class MRModelRanged1Demo extends Object
Using this example. Runs a ranged mean-reversion model on local GainCapital FX prices. A range parameter is expressed in spread/price units; the basket coefficients and lot scale control the traded quantities.
Model and publication. No single original research publication is claimed for this library/example policy.
Implementation in this tutorial. The ranged variant is demonstrated on the configured basket in main; read the basket coefficient and model range together to interpret spread units. 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.
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MRModelRanged1Demo() |
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