Uses of Interface
com.quantfinlib.backtest.portfolio.PortfolioStrategy

Packages that use PortfolioStrategy

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 PortfolioStrategy in com.quantfinlib.backtest.portfolio

Classes in com.quantfinlib.backtest.portfolio that implement PortfolioStrategy

Modifier and Type	Class	Description
final class	CrossSectionalMomentum	Point-in-time cross-sectional momentum — the classic equity factor, built to demonstrate (and test) universe-aware backtesting: at every rebalance the strategy ranks only the stocks that are index members at that bar's timestamp, goes long the best trailing performers and short the worst.

Methods in com.quantfinlib.backtest.portfolio with parameters of type PortfolioStrategy

Modifier and Type	Method	Description
static PortfolioBacktester.Result	PortfolioBacktester.run(PortfolioStrategy strategy, Map<String, BarSeries> data, PortfolioBacktester.Config config)	Classic run: every supplied symbol is tradeable on every bar.
static PortfolioBacktester.Result	PortfolioBacktester.run(PortfolioStrategy strategy, Map<String, BarSeries> data, PortfolioBacktester.Config config, PointInTimeUniverse universe, Map<String, List<CorporateActions.CorporateAction>> cashDividends)	Survivorship-aware run (see the class doc for semantics).