Enum Class AlphaValidation.NullModel

java.lang.Object

java.lang.Enum<AlphaValidation.NullModel>

com.quantfinlib.alpha.AlphaValidation.NullModel

All Implemented Interfaces:

Serializable, Comparable<AlphaValidation.NullModel>, Constable

Enclosing class:

AlphaValidation

public static enum AlphaValidation.NullModel
extends Enum<AlphaValidation.NullModel>

Which link the null distribution destroys.

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
CIRCULAR_SHIFT	Pair the scores of date d with the returns of date (d + k) mod D for every shift k = 1..D−1 (an exact enumeration).
CROSS_SECTIONAL	Within each date, permute the symbol labels of the forward-return vector.
DATE_PERMUTATION	Random permutation of score dates against return dates.

Method Summary

Modifier and Type	Method	Description
static AlphaValidation.NullModel	valueOf(String name)	Returns the enum constant of this class with the specified name.
static AlphaValidation.NullModel[]	values()	Returns an array containing the constants of this enum class, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

CROSS_SECTIONAL

public static final AlphaValidation.NullModel CROSS_SECTIONAL

Within each date, permute the symbol labels of the forward-return vector. Destroys the cross-sectional score/return link while keeping both marginals and every time-series dependence. This is the test of predictive power, and the default.

CIRCULAR_SHIFT

public static final AlphaValidation.NullModel CIRCULAR_SHIFT

Pair the scores of date d with the returns of date (d + k) mod D for every shift k = 1..D−1 (an exact enumeration). Keeps the persistence of both sides. A static ranking against a persistent drift is invariant under the shift, so p is near 1 for it: this asks whether the timing of the signal carries information beyond a fixed ranking.

DATE_PERMUTATION

public static final AlphaValidation.NullModel DATE_PERMUTATION

Random permutation of score dates against return dates. A diagnostic for time variation of the ranking, not a test of predictive power: slow factors (value, quality, low volatility, 12-1 momentum) get p near 1 under it whatever their skill.

Method Details

values

public static AlphaValidation.NullModel[] values()

Returns an array containing the constants of this enum class, in the order they are declared.

Returns:

an array containing the constants of this enum class, in the order they are declared

valueOf

public static AlphaValidation.NullModel valueOf(String name)

Returns the enum constant of this class with the specified name. The string must match exactly an identifier used to declare an enum constant in this class. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum class has no constant with the specified name

NullPointerException - if the argument is null