Class SignalEvaluator.Report

java.lang.Object
com.quantfinlib.alpha.SignalEvaluator.Report
Enclosing class:
SignalEvaluator
public static final class SignalEvaluator.Report extends Object
The evaluation scorecard; format() renders it.

  • Constructor Summary

    Constructors
    Constructor
    Description
    Report(String factorName, double meanIc, double icStd, double ir, double tStat, double naiveTStat, int hacLag, double icAutocorrelation, double hitRate, double meanTurnover, int observations, int horizon, double[] icSeries)
    Creates the value; array and collection arguments are copied.

  • Method Summary

    Modifier and Type
    Method
    Description
    boolean
    equals(Object other)
     
    String
    factorName()
    factorName.
    String
    format()
    One-line human summary in fixed order for report diffs.
    int
    hacLag()
    hacLag.
    int
    hashCode()
     
    double
    hitRate()
    hitRate.
    int
    horizon()
    horizon (forward-return horizon in bars).
    double
    icAutocorrelation()
    icAutocorrelation.
    double
    icSeries(int i)
    Element i of icSeries (per-date ICs, one per scored bar).
    double[]
    icSeriesCopy()
    A fresh copy of icSeries.
    int
    icSeriesLength()
    Length of icSeries.
    double
    icStd()
    icStd.
    double
    ir()
    ir.
    double
    meanIc()
    meanIc.
    double
    meanTurnover()
    meanTurnover.
    double
    naiveTStat()
    naiveTStat.
    int
    observations()
    observations.
    String
    toString()
     
    double
    tStat()
    tStat (HAC (Newey-West) t-stat of the mean IC).

    Methods inherited from class Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • Report

      public Report(String factorName, double meanIc, double icStd, double ir, double tStat, double naiveTStat, int hacLag, double icAutocorrelation, double hitRate, double meanTurnover, int observations, int horizon, double[] icSeries)
      Creates the value; array and collection arguments are copied.
      Parameters:
      tStat - HAC (Newey-West) t-stat of the mean IC
      naiveTStat - iid t-stat mean/(std/√n), for comparison only
      hacLag - Bartlett lag used for tStat
      icAutocorrelation - lag-horizon autocorrelation of the IC series (NaN when the series is too short)
      horizon - forward-return horizon in bars
      icSeries - per-date ICs, one per scored bar

  • Method Details

    • factorName

      public String factorName()
      factorName.

    • meanIc

      public double meanIc()
      meanIc.

    • icStd

      public double icStd()
      icStd.

    • ir

      public double ir()
      ir.

    • tStat

      public double tStat()
      tStat (HAC (Newey-West) t-stat of the mean IC).

    • naiveTStat

      public double naiveTStat()
      naiveTStat.

    • hacLag

      public int hacLag()
      hacLag.

    • icAutocorrelation

      public double icAutocorrelation()
      icAutocorrelation.

    • hitRate

      public double hitRate()
      hitRate.

    • meanTurnover

      public double meanTurnover()
      meanTurnover.

    • observations

      public int observations()
      observations.

    • horizon

      public int horizon()
      horizon (forward-return horizon in bars).

    • icSeries

      public double icSeries(int i)
      Element i of icSeries (per-date ICs, one per scored bar).

    • icSeriesLength

      public int icSeriesLength()
      Length of icSeries.

    • icSeriesCopy

      public double[] icSeriesCopy()
      A fresh copy of icSeries.

    • format

      public String format()
      One-line human summary in fixed order for report diffs.

    • 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