Class AlphaCombiner.Combination

java.lang.Object

com.quantfinlib.alpha.AlphaCombiner.Combination

All Implemented Interfaces:

AlphaFactor

Enclosing class:

AlphaCombiner

public static final class AlphaCombiner.Combination
extends Object
implements AlphaFactor

Fitted weights and the combined factor.

Method Summary

Modifier and Type	Method	Description
int	dates()	IC dates used in the fit.
int	factorCount()
double	ic(int k)	Horizon-matched, date-weighted mean IC of (orthogonalised) factor k.
double[]	icsCopy()
String	name()	Human-readable name used in reports; override for real factors.
double[]	scores(AlphaContext ctx, int index)	Combined score: Σ w_k z'_k with the same per-date orthogonalisation as the fit; NaN where any factor has no score.
double	weight(int k)	Weight of factor k.
double[]	weightsCopy()

Methods inherited from class Object

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

Method Details

weight

public double weight(int k)

Weight of factor k.

weightsCopy

public double[] weightsCopy()

ic

public double ic(int k)

Horizon-matched, date-weighted mean IC of (orthogonalised) factor k.

icsCopy

public double[] icsCopy()

factorCount

public int factorCount()

dates

public int dates()

IC dates used in the fit.

scores

public double[] scores(AlphaContext ctx,
 int index)

Combined score: Σ w_k z'_k with the same per-date orthogonalisation as the fit; NaN where any factor has no score.

Specified by:

scores in interface AlphaFactor

name

public String name()

Description copied from interface: AlphaFactor

Human-readable name used in reports; override for real factors.

Specified by:

name in interface AlphaFactor