Uses of Record Class
com.quantfinlib.alpha.FamaMacBeth.Result

Packages that use FamaMacBeth.Result
Package
Description
com.quantfinlib.alpha
The alpha research pipeline — signal to evaluated, validated, cost-aware, constructed, reported strategy, with each stage a separate, composable step: Signal generation — Factors: nine standard factors (MA crossover, contrarian RSI, MACD, Bollinger reversion, mean reversion, 12-1 momentum, value, quality, low volatility) producing raw cross-sectional scores over an AlphaContext panel; Evaluation — SignalEvaluator: rank IC, IR, t-stat, hit rate, turnover, cross-factor exposure — the cheap filter before any backtest; Validation — AlphaValidation: walk-forward selection with OOS efficiency, blocked k-fold consistency, Monte Carlo permutation p-values, parameter sensitivity — the overfitting defense; Execution-aware backtest — AlphaBacktester: commission, bid-ask spread, slippage and square-root market impact (microstructure.MarketImpactModel), with gross-vs-net cost decomposition; Portfolio construction — PortfolioConstruction: z-score sizing with caps, inverse-vol risk budgeting, sector and beta neutralization, mean-variance tilt; Reporting — AlphaReport: alpha decay with half-life, OLS factor attribution, drawdown curves, rolling Sharpe, and the shared ratio set from backtest.PerformanceAnalytics.