Uses of Class
com.quantfinlib.alpha.AlphaReport.LagDecay

Packages that use AlphaReport.LagDecay

Package	Description
com.quantfinlib.alpha	Cross-sectional alpha research: signal generation, evaluation, validation, execution-aware backtesting, portfolio construction and reporting, each a separate step.

Uses of AlphaReport.LagDecay in com.quantfinlib.alpha

Methods in com.quantfinlib.alpha that return AlphaReport.LagDecay

Modifier and Type	Method	Description
static AlphaReport.LagDecay	AlphaReport.lagIcProfile(AlphaContext ctx, AlphaFactor factor, int startIndex, int maxLag)	IC of the scores at t against the one-bar return over (t+h−1, t+h] for h = 1..maxLag, averaged over every bar t from startIndex with the whole window in sample, then fitted by least squares to IC(h) = IC₀·exp(−(h−1)/τ) (for fixed τ the optimal IC₀ is closed-form; τ is found by golden-section search on log τ over [0.05, 10⁵] bars, and reported as +∞ when the best fit sits at the upper bound).