Record Class PortfolioBacktester.Participation

java.lang.Object
java.lang.Record
com.quantfinlib.backtest.portfolio.PortfolioBacktester.Participation
Record Components:
maxFractionOfAdv - fraction of ADV per bar (> 0)
advWindow - bars in the ADV average (≥ 1)
Enclosing class:
PortfolioBacktester
public static record PortfolioBacktester.Participation(double maxFractionOfAdv, int advWindow) extends Record
Participation cap: each symbol trades at most maxFractionOfAdv × ADV shares per bar, with ADV the mean volume of the advWindow bars before the fill bar (fewer at the start of the data; none on bar 0, so nothing trades there). A target that the cap leaves unfinished is worked again at the next bar's fill point, re-sized against the portfolio value then, until it is reached or replaced by the next decision. Forced index-drop sales and terminal events are not capped.

  • Constructor Details

    • Participation

      public Participation(double maxFractionOfAdv, int advWindow)
      Creates an instance of a Participation record class.
      Parameters:
      maxFractionOfAdv - the value for the maxFractionOfAdv record component
      advWindow - the value for the advWindow record component

  • Method Details

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • maxFractionOfAdv

      public double maxFractionOfAdv()
      Returns the value of the maxFractionOfAdv record component.
      Returns:
      the value of the maxFractionOfAdv record component

    • advWindow

      public int advWindow()
      Returns the value of the advWindow record component.
      Returns:
      the value of the advWindow record component