Record Class SignalEvaluator.QuantileReport

java.lang.Object
java.lang.Record
com.quantfinlib.alpha.SignalEvaluator.QuantileReport
Enclosing class:
SignalEvaluator
public static record SignalEvaluator.QuantileReport(String factorName, double[] meanReturns, int[] counts, int quantiles, int dates) extends Record
Mean forward return per score quantile — the picture behind the IC: meanReturns()[0] is the average forward return of the lowest-scored names, the last entry of the highest-scored, and spread() is the top-minus-bottom long/short return per period. A real factor shows MONOTONE quantile returns; a factor whose spread lives entirely in one extreme quantile is a tail bet wearing a factor costume — the IC alone cannot tell the difference, which is why desks always plot both.

  • Constructor Summary

    Constructors
    Constructor
    Description
    QuantileReport(String factorName, double[] meanReturns, int[] counts, int quantiles, int dates)
    Creates an instance of a QuantileReport record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    int[]
    counts()
    Returns the value of the counts record component.
    int
    dates()
    Returns the value of the dates record component.
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    String
    factorName()
    Returns the value of the factorName record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    double[]
    meanReturns()
    Returns the value of the meanReturns record component.
    int
    quantiles()
    Returns the value of the quantiles record component.
    double
    spread()
    Top-quantile minus bottom-quantile mean forward return.
    final String
    toString()
    Returns a string representation of this record class.

    Methods inherited from class java.lang.Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • QuantileReport

      public QuantileReport(String factorName, double[] meanReturns, int[] counts, int quantiles, int dates)
      Creates an instance of a QuantileReport record class.
      Parameters:
      factorName - the value for the factorName record component
      meanReturns - the value for the meanReturns record component
      counts - the value for the counts record component
      quantiles - the value for the quantiles record component
      dates - the value for the dates record component

  • Method Details

    • spread

      public double spread()
      Top-quantile minus bottom-quantile mean forward return.

    • 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. Reference components are compared with Objects::equals(Object,Object); primitive components 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.

    • factorName

      public String factorName()
      Returns the value of the factorName record component.
      Returns:
      the value of the factorName record component

    • meanReturns

      public double[] meanReturns()
      Returns the value of the meanReturns record component.
      Returns:
      the value of the meanReturns record component

    • counts

      public int[] counts()
      Returns the value of the counts record component.
      Returns:
      the value of the counts record component

    • quantiles

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

    • dates

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