tech.nmfin.algoquant.web

Class AllPerformanceMeasures

java.lang.Object

tech.nmfin.algoquant.web.AllPerformanceMeasures

public final class AllPerformanceMeasures
extends Object

Explicit, reviewable library-measure catalog. No substitute formulas or silent zero fallbacks.

Using this example. Construct the catalog with the actual interval, NAV history, cash balance, blotter and market caches, then evaluate the registered KeyedMeasure instances. Keep metric units and availability notes with the values: undefined ratios must not be replaced by zero. Trade measures require real executions and cannot be inferred from NAV alone.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	AllPerformanceMeasures.Metric
static class	AllPerformanceMeasures.PeriodTable
static class	AllPerformanceMeasures.PeriodValue

Field Summary

Fields

Modifier and Type	Field and Description
List<AllPerformanceMeasures.Metric>	metrics
List<AllPerformanceMeasures.PeriodTable>	periods

Constructor Summary

Constructors

Constructor and Description
AllPerformanceMeasures(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval, double capital, SequentialCache<Double> nav, List<Execution> fills, OrderBookCaches books, BenchmarkLookup benchmark, String benchmarkError, double[] daily) Captures the inputs used by the library's performance-measure constructors.

Method Summary

Modifier and Type	Method and Description
void	compute()
void	compute(boolean includePeriodTables) Scalar comparisons can omit long period tables while using the same calculations.
void	computeForNavSeries() Imported NAV contains no execution, fee or position records.

Methods inherited from class java.lang.Object

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

Field Detail

metrics

public final List<AllPerformanceMeasures.Metric> metrics

periods

public final List<AllPerformanceMeasures.PeriodTable> periods

Constructor Detail

AllPerformanceMeasures

public AllPerformanceMeasures(dev.nm.misc.datastructure.time.LocalDateTimeInterval interval,
                              double capital,
                              SequentialCache<Double> nav,
                              List<Execution> fills,
                              OrderBookCaches books,
                              BenchmarkLookup benchmark,
                              String benchmarkError,
                              double[] daily)

Captures the inputs used by the library's performance-measure constructors.

Parameters:

interval - account measurement interval

capital - initial account balance in the example's USD convention

nav - chronological account NAV including the initial balance

fills - actual simulated executions; an empty list is not evidence of no trades when analyzing an imported NAV-only account

books - product order books used by execution-dependent measures

benchmark - lookup used for CAPM comparisons

benchmarkError - explanation when benchmark-dependent results are unavailable

daily - successive daily simple returns, as fractions rather than percentages

Method Detail

computeForNavSeries

public void computeForNavSeries()

Imported NAV contains no execution, fee or position records.

compute

public void compute()

compute

public void compute(boolean includePeriodTables)

Scalar comparisons can omit long period tables while using the same calculations.