Interface PortfolioStrategy

All Known Implementing Classes:
CrossSectionalMomentum
public interface PortfolioStrategy
A multi-asset, weight-based strategy for the PortfolioBacktester. All series must be index-aligned (same length, same bar times). Weights are fractions of current equity: positive = long, negative = short, missing symbol = flat; |weights| may sum above 1 for leverage.

  • Method Details

    • name

      String name()

    • init

      void init(Map<String, BarSeries> data)

    • targetWeights

      Map<String,Double> targetWeights(int index)
      Target weights by symbol as of bar index (decided at that bar's close).