AlgoQuant, an integrated trading strategy research and backtesting system
com.numericalmethod.algoquant.execution.simulation.template.composite

## Class MeasureStockPortfolio

• java.lang.Object
• com.numericalmethod.algoquant.execution.simulation.template.composite.MeasureStockPortfolio
• All Implemented Interfaces:
PerformanceMeasures

public class MeasureStockPortfolio
extends Object
implements PerformanceMeasures
Adds a commonly used set of performance measures to a SimTemplateComposite.
• ### Constructor Summary

Constructors
Constructor and Description
MeasureStockPortfolio(double commissionRate, double initialCapital)
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0, and the information ratio is computed over the period of one year.
MeasureStockPortfolio(double commissionRate, double initialCapital, org.joda.time.Period irPeriod)
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0.
MeasureStockPortfolio(double commissionRate, double initialCapital, org.joda.time.Period irPeriod, com.numericalmethod.suanshu.finance.trading.returns.ReturnsCalculator returnCalculator, double benchmarkPeriodReturn)
Constructs a commonly used set of performance measures for a stock portfolio.
• ### Method Summary

All Methods
Modifier and Type Method and Description
List<PerformanceMeasure> performanceMeasures()
Gets the performance measures to be evaluated.
• ### Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
• ### Constructor Detail

• #### MeasureStockPortfolio

public MeasureStockPortfolio(double commissionRate,
double initialCapital,
org.joda.time.Period irPeriod,
double benchmarkPeriodReturn)
Constructs a commonly used set of performance measures for a stock portfolio.
Parameters:
commissionRate - the rate of commission we assume
initialCapital - the initial capital available to the strategy
irPeriod - the period over which we compute the information ratio
returnCalculator - the return calculator that is used
benchmarkPeriodReturn - the benchmark return over the given period
• #### MeasureStockPortfolio

public MeasureStockPortfolio(double commissionRate,
double initialCapital,
org.joda.time.Period irPeriod)
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0.
Parameters:
commissionRate - the rate of commission we assume
initialCapital - the initial capital available to the strategy
irPeriod - the period over which we compute the information ratio
• #### MeasureStockPortfolio

public MeasureStockPortfolio(double commissionRate,
double initialCapital)
Constructs a commonly used set of performance measures for a stock portfolio, assuming log return and a benchmark return of 0, and the information ratio is computed over the period of one year.
Parameters:
commissionRate - the rate of commission we assume
initialCapital - the initial capital available to the strategy
• ### Method Detail

• #### performanceMeasures

public List<PerformanceMeasure> performanceMeasures()
Description copied from interface: PerformanceMeasures
Gets the performance measures to be evaluated.
Specified by:
performanceMeasures in interface PerformanceMeasures
Returns:
the performance measures