tech.nmfin.algoquant.demo.model.volarb

Class MRModelRanged2Demo

java.lang.Object

tech.nmfin.algoquant.demo.model.volarb.MRModelRanged2Demo

@Demo
public class MRModelRanged2Demo
extends Object

Using this example. Builds an AUD/USD and NZD/USD pair basket with coefficient -1.5 and MRModelRanged threshold 0.0025. It uses local GainCapital tick files, a desktop plotter and trade-based measures. The scale and lot inputs are quantities, not percentages of initial capital.

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

Implementation in this tutorial. Here the pair coefficient is -1.5 and MRModelRanged receives 0.0025; these values specify a spread and a range, not an allocation percentage. 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
MRModelRanged2Demo()

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

MRModelRanged2Demo

public MRModelRanged2Demo()

Method Detail

main

public static void main(String[] args)