Package com.quantfinlib.backtest.portfolio

@NullMarked package com.quantfinlib.backtest.portfolio
Multi-asset portfolio backtesting with point-in-time universes and financing. The main classes: PortfolioBacktester rebalances long/short weight targets from a PortfolioStrategy with commission and turnover tracking (input series must be index-aligned — see data.SeriesAligner), and in its survivorship-aware overload consumes a data.PointInTimeUniverse (delistings terminate at the delisting return, mergers convert at deal terms, index drops force sales) plus explicit ex-date cash dividends; CrossSectionalMomentum is the built-in point-in-time factor strategy (12-1 momentum ranked over the members alive at each rebalance); PositionSizing supplies Kelly, fixed-fractional risk, inverse-volatility weights and vol-target leverage.
  • Class
    Description
    CrossSectionalMomentum
    Point-in-time cross-sectional momentum — the classic equity factor, built to demonstrate (and test) universe-aware backtesting: at every rebalance the strategy ranks only the stocks that are index members at that bar's timestamp, goes long the best trailing performers and short the worst.
    CrossSectionalMomentum.Config
    Momentum strategy settings.
    PortfolioBacktester
    Multi-asset, long/short portfolio backtester: rebalances positions (possibly fractional and negative) toward the strategy's target weights at a configurable cadence, charging commission on traded notional.
    PortfolioBacktester.Config
    costModel, when set, supersedes the flat commissionRate for every trade (rebalances and forced index-drop sales alike), the shared TradeCostModel seam that makes a run survivorship-aware and execution-aware at once.
    PortfolioBacktester.Financing
    Financing terms, all annual.
    PortfolioBacktester.Participation
    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).
    PortfolioBacktester.Result
    dividendCashCredited and lifecycleEventsApplied are populated by the survivorship-aware overload (zero otherwise).
    PortfolioStrategy
    A multi-asset, weight-based strategy for the PortfolioBacktester.
    PositionSizing
    Position sizing rules: Kelly, fixed-fractional risk, inverse-volatility weighting, and volatility targeting — the building blocks for PortfolioStrategy weight construction.