Class AlphaBacktester.Result

java.lang.Object
com.quantfinlib.alpha.AlphaBacktester.Result
Enclosing class:
AlphaBacktester
public static final class AlphaBacktester.Result extends Object
Net and gross curves (one point per close from startIndex), the cumulative fraction of equity each cost consumed, and turnover.

  • Constructor Details

    • Result

      public Result(double[] netEquity, double[] grossEquity, PerformanceMetrics netMetrics, PerformanceMetrics grossMetrics, double commissionDrag, double spreadDrag, double slippageDrag, double impactDrag, double financingDrag, double meanTurnover, double meanTrackingGap, FillPolicy fillPolicy)
      Creates the value; array and collection arguments are copied.
      Parameters:
      financingDrag - cumulative net financing paid (negative when the book earned interest)
      meanTurnover - mean one-way turnover per rebalance decision
      meanTrackingGap - mean over bars of ½‖target − w‖₁ while a target was still being worked (0 without a participation cap)

  • Method Details

    • netEquity

      public double netEquity(int i)
      Element i of netEquity.

    • netEquityLength

      public int netEquityLength()
      Length of netEquity.

    • netEquityCopy

      public double[] netEquityCopy()
      A fresh copy of netEquity.

    • grossEquity

      public double grossEquity(int i)
      Element i of grossEquity.

    • grossEquityLength

      public int grossEquityLength()
      Length of grossEquity.

    • grossEquityCopy

      public double[] grossEquityCopy()
      A fresh copy of grossEquity.

    • netMetrics

      public PerformanceMetrics netMetrics()
      netMetrics.

    • grossMetrics

      public PerformanceMetrics grossMetrics()
      grossMetrics.

    • commissionDrag

      public double commissionDrag()
      commissionDrag.

    • spreadDrag

      public double spreadDrag()
      spreadDrag.

    • slippageDrag

      public double slippageDrag()
      slippageDrag.

    • impactDrag

      public double impactDrag()
      impactDrag.

    • financingDrag

      public double financingDrag()
      financingDrag (cumulative net financing paid (negative when the book earned interest)).

    • meanTurnover

      public double meanTurnover()
      meanTurnover (mean one-way turnover per rebalance decision).

    • meanTrackingGap

      public double meanTrackingGap()
      meanTrackingGap.

    • fillPolicy

      public FillPolicy fillPolicy()
      fillPolicy.

    • totalCostDrag

      public double totalCostDrag()
      Total trading-cost drag (financing excluded).

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object