Uses of Record Class
com.quantfinlib.backtest.portfolio.CrossSectionalMomentum.Config

Packages that use CrossSectionalMomentum.Config

Package

Description

com.quantfinlib.backtest.portfolio

Multi-asset backtesting: PortfolioBacktester rebalances long/short weight targets from a PortfolioStrategy with commission and turnover tracking (input series must be index-aligned — see data.SeriesAligner), and in its survivorship-aware overload consumes a data.PointInTimeUniverse (delistings terminate at the delisting return, mergers convert at deal terms, index drops force sales) plus explicit ex-date cash dividends; CrossSectionalMomentum is the built-in point-in-time factor strategy (12-1 momentum ranked over the members alive at each rebalance); PositionSizing supplies Kelly, fixed-fractional risk, inverse-volatility weights and vol-target leverage.

Uses of CrossSectionalMomentum.Config in com.quantfinlib.backtest.portfolio

Methods in com.quantfinlib.backtest.portfolio that return CrossSectionalMomentum.Config

Modifier and Type	Method	Description
static CrossSectionalMomentum.Config	CrossSectionalMomentum.Config.twelveMinusOne(int perSide)	The academic 12-1 monthly-rebalance setup on daily bars.

Constructors in com.quantfinlib.backtest.portfolio with parameters of type CrossSectionalMomentum.Config

Modifier	Constructor	Description
	CrossSectionalMomentum(PointInTimeUniverse universe, CrossSectionalMomentum.Config config)