Class CalendarAnomalies

java.lang.Object

com.quantfinlib.alpha.CalendarAnomalies

public final class CalendarAnomalies
extends Object

Calendar anomaly profiles — day-of-week and turn-of-month seasonality with the t-statistics that keep them honest. The honest part is the POINT: most published calendar anomalies (the weekend effect, the January effect) decayed or died after publication, and the difference between a tradable seasonal and a data-mined ghost is a t-stat that survives out of sample. This class hands you the profile AND the significance; treat |t| < 2 as decoration, and re-test out of sample before believing anything (see AlphaValidation).

Turn-of-month windows use CALENDAR days of month (last daysBeforeMonthEnd calendar days + first daysAfterMonthStart), not trading days — stated, not hidden; with daily equity data the difference is a day around holidays. Timestamps are interpreted in UTC. Static, deterministic, research lane.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	CalendarAnomalies.DayOfWeekProfile	Per-day-of-week profile, indexed Monday = 0 … Sunday = 6.
static final record	CalendarAnomalies.TurnOfMonth	The turn-of-month split, with a Welch t-stat on the difference.

Method Summary

Modifier and Type	Method	Description
static CalendarAnomalies.DayOfWeekProfile	dayOfWeek(double[] returns, long[] epochMillis)
static CalendarAnomalies.TurnOfMonth	turnOfMonth(double[] returns, long[] epochMillis, int daysBeforeMonthEnd, int daysAfterMonthStart)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

dayOfWeek

public static CalendarAnomalies.DayOfWeekProfile dayOfWeek(double[] returns,
 long[] epochMillis)

Parameters:

returns - per-period returns aligned with epochMillis

turnOfMonth

public static CalendarAnomalies.TurnOfMonth turnOfMonth(double[] returns,
 long[] epochMillis,
 int daysBeforeMonthEnd,
 int daysAfterMonthStart)

Parameters:

daysBeforeMonthEnd - calendar days at month end in the window, ≥ 0

daysAfterMonthStart - calendar days at month start in the window, ≥ 0 (at least one of the two > 0)