tech.nmfin.algoquant.web

Class PerformanceStatistics

java.lang.Object

tech.nmfin.algoquant.web.PerformanceStatistics

public final class PerformanceStatistics
extends Object

Shared headline conventions for simulated and imported NAV series.

Using this example. Computes the shared headline display values from chronological daily account levels and an explicit initial balance. These display conventions complement the AlgoQuant measure catalog; they should not silently replace a library statistic with a differently defined formula.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	PerformanceStatistics.Values

Constructor Summary

Constructors

Constructor and Description
PerformanceStatistics()

Method Summary

Modifier and Type	Method and Description
static <T extends PerformanceStatistics.Values> T	compute(List<String> dates, List<Double> nav, double capital, T stats)
static List<Double>	dailyReturns(List<Double> nav, double capital) Observation returns include the first NAV relative to the starting capital, matching simulation reports.

Methods inherited from class java.lang.Object

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

Constructor Detail

PerformanceStatistics

public PerformanceStatistics()

Method Detail

compute

public static <T extends PerformanceStatistics.Values> T compute(List<String> dates,
                                                                 List<Double> nav,
                                                                 double capital,
                                                                 T stats)

dailyReturns

public static List<Double> dailyReturns(List<Double> nav,
                                        double capital)

Observation returns include the first NAV relative to the starting capital, matching simulation reports.