Class SignalEvaluator.QuantileReport

java.lang.Object
com.quantfinlib.alpha.SignalEvaluator.QuantileReport
Enclosing class:
SignalEvaluator
public static final class SignalEvaluator.QuantileReport extends Object
Mean forward return per score quantile: meanReturns()[0] is the lowest-scored names' average forward return, the last entry the highest-scored. A real factor shows monotone quantile returns; a factor whose spread lives in one extreme quantile is a tail bet.

  • Constructor Details

    • QuantileReport

      public QuantileReport(String factorName, double[] meanReturns, int[] counts, int quantiles, int dates, double[] spreadSeries, double spreadTStat)
      Creates the value; array and collection arguments are copied.
      Parameters:
      spreadSeries - per-date top-minus-bottom return
      spreadTStat - Newey-West t-stat of the mean spread (automatic lag; the date grid does not overlap)

  • Method Details

    • factorName

      public String factorName()
      factorName.

    • meanReturns

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

    • meanReturnsLength

      public int meanReturnsLength()
      Length of meanReturns.

    • meanReturnsCopy

      public double[] meanReturnsCopy()
      A fresh copy of meanReturns.

    • counts

      public int counts(int i)
      Element i of counts.

    • countsLength

      public int countsLength()
      Length of counts.

    • countsCopy

      public int[] countsCopy()
      A fresh copy of counts.

    • quantiles

      public int quantiles()
      quantiles.

    • dates

      public int dates()
      dates.

    • spreadSeries

      public double spreadSeries(int i)
      Element i of spreadSeries (per-date top-minus-bottom return).

    • spreadSeriesLength

      public int spreadSeriesLength()
      Length of spreadSeries.

    • spreadSeriesCopy

      public double[] spreadSeriesCopy()
      A fresh copy of spreadSeries.

    • spreadTStat

      public double spreadTStat()
      spreadTStat (Newey-West t-stat of the mean spread (automatic lag; the date grid does not overlap)).

    • spread

      public double spread()
      Top-quantile minus bottom-quantile mean forward return.

    • 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