Uses of Record Class
com.quantfinlib.alpha.SignalEvaluator.QuantileReport

Packages that use SignalEvaluator.QuantileReport

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.

Uses of SignalEvaluator.QuantileReport in com.quantfinlib.alpha

Methods in com.quantfinlib.alpha that return SignalEvaluator.QuantileReport

Modifier and Type	Method	Description
static SignalEvaluator.QuantileReport	SignalEvaluator.quantileReturns(AlphaContext ctx, AlphaFactor factor, int startIndex, int horizon, int quantiles)	Buckets each evaluation date's cross-section into quantiles score-ranked groups and averages the forward returns per group, over the same non-overlapping date grid as SignalEvaluator.evaluate(AlphaContext, AlphaFactor, int, int): dates step by horizon from startIndex, a NaN score or NaN forward return drops that (symbol, date) pair, and a date with fewer complete pairs than quantiles contributes to no bucket at all.