Class WalkForwardAnalyzer.WalkForwardResult

java.lang.Object
com.quantfinlib.backtest.validation.WalkForwardAnalyzer.WalkForwardResult
Enclosing class:
WalkForwardAnalyzer
public static final class WalkForwardAnalyzer.WalkForwardResult extends Object

  • Constructor Details

    • WalkForwardResult

      public WalkForwardResult(List<WalkForwardAnalyzer.Fold> folds, double[] outOfSampleEquity, PerformanceMetrics outOfSampleMetrics, List<Trade> outOfSampleTrades, double efficiency, double[] inSampleEquity, PerformanceMetrics inSampleMetrics, int inSampleTradeCount)
      Creates the value; array and collection arguments are copied.
      Parameters:
      efficiency - OOS objective over IS objective on the stitched curves
      inSampleEquity - chained in-sample equity of the fold winners
      inSampleTradeCount - trades the winners made in sample

  • Method Details

    • folds

      public List<WalkForwardAnalyzer.Fold> folds()
      folds.

    • outOfSampleEquity

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

    • outOfSampleEquityLength

      public int outOfSampleEquityLength()
      Length of outOfSampleEquity.

    • outOfSampleEquityCopy

      public double[] outOfSampleEquityCopy()
      A fresh copy of outOfSampleEquity.

    • outOfSampleMetrics

      public PerformanceMetrics outOfSampleMetrics()
      outOfSampleMetrics.

    • outOfSampleTrades

      public List<Trade> outOfSampleTrades()
      outOfSampleTrades.

    • efficiency

      public double efficiency()
      efficiency (OOS objective over IS objective on the stitched curves).

    • inSampleEquity

      public double inSampleEquity(int i)
      Element i of inSampleEquity (chained in-sample equity of the fold winners).

    • inSampleEquityLength

      public int inSampleEquityLength()
      Length of inSampleEquity.

    • inSampleEquityCopy

      public double[] inSampleEquityCopy()
      A fresh copy of inSampleEquity.

    • inSampleMetrics

      public PerformanceMetrics inSampleMetrics()
      inSampleMetrics.

    • inSampleTradeCount

      public int inSampleTradeCount()
      inSampleTradeCount (trades the winners made in sample).

    • 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