Class AlphaRiskModels

java.lang.Object

com.quantfinlib.alpha.AlphaRiskModels

public final class AlphaRiskModels
extends Object

Builds a FactorRiskModel from an AlphaContext panel, with style factors taken from Factors.

Styles: SIZE (log capitalisation), MOMENTUM (Factors.momentum(int, int)(momentumLookback, 0)), LOW_VOL (Factors.lowVolatility(int)) and, when the panel has fundamentals, VALUE (Factors.value()). Capitalisation is Fundamentals.marketCap() as of the bar when the panel carries it; otherwise the trailing capWindow-bar mean dollar volume stands in as a liquidity-size proxy, which keeps the regression weights and the size buckets ordered by tradable size.

Period j of the model is the close-to-close return from bar j − 1 to bar j with exposures and capitalisations taken at bar j − 1; the forecast row is bar index. Only data up to close(index) is read, so the model can be rebuilt inside a backtest without look-ahead.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	AlphaRiskModels.Spec	Risk model specification.

Method Summary

Modifier and Type	Method	Description
static FactorRiskModel	estimate(AlphaContext ctx, int index, String[] sectors, AlphaRiskModels.Spec spec)	Estimates the model on the spec.window() periods ending at index, forecasting the period after it.

Methods inherited from class Object

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

Method Details

estimate

public static FactorRiskModel estimate(AlphaContext ctx,
 int index,
 String[] sectors,
 AlphaRiskModels.Spec spec)

Estimates the model on the spec.window() periods ending at index, forecasting the period after it.

Parameters:

sectors - sector label per symbol in context order (null = one sector)