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ChaikinMoneyFlowDemo
This is an earlier AlgoQuant usage tutorial record. Its numerical results are irrelevant to the teaching purpose. See the maintained tutorial and the learning directory.
Synthetic-data demonstration. Source · Verified execution · Data-and-methodology · Reproduce-the-results
Uses a twenty-observation price-change average and twenty-observation Chaikin Money Flow. Targets +1 unit when smoothed price changes are positive and CMF negative, -1 for the reverse signs, and zero otherwise. OHLCV events supply the indicator inputs; order-book events supply execution prices.
| Item | Value |
|---|---|
| Instrument label | FCX |
| Requested interval (end excluded) | 2010-02-01 to 2010-12-22 |
| Data | Generated weekday OHLCV bars |
| Mode | Offline, headless; script passes --quick (only dynamic demo changes its workload) |
| NAV observations | 232 |
| Executions | 16 |
| P&L | -12.479865 |
| InformationRatioForTrades | -0.328490 |
| OmegaForTrades | -0.562450 |
The run passed the nonempty/finite NAV check. Execution count counts fills; it is not necessarily a count of completed round-trip trades. NAV observations count the report's valuations.
mvn exec:java -Dexec.mainClass=tech.nmfin.algoquant.demo.model.technical.ChaikinMoneyFlowDemo -Dexec.args="--quick"A valid external NM license and Maven authentication are required; see Reproduce-the-results.