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Model CSI300SimulationDemo
This tutorial demonstrates AlgoQuant's historical-universe and simulation APIs. Its outputs illustrate the workflow and do not establish investment performance.
The demo uses EastmoneyEODWebDownloader by default. Select SinaEODWebDownloader with -Dcsi300.indexSource=sina. Both are Java HTTPS clients provided by the matching AlgoQuant library change. There is no Yahoo index dependency, Python process, cookie or API token in this path.
Before implementation, live requests returned 1,944 CSI300 sessions from 2010-01-04 through 2017-12-29 from each provider, with identical date sets and at most 0.005 index-point close difference. The 2008–2017 Eastmoney response contained 2,434 observations for pre-simulation calibration. Evidence: https://github.com/nmltd/algoquant/actions/runs/39127258230 . The library diagnostic workflow additionally checks the actual Java HTTP clients.
The original demo dates remain 2010-01-01 to 2017-01-01 (exclusive). The separate coverage check includes all of calendar 2017. The demo downloads calibration history starting one year and two weeks before the simulation and validates range endpoints before running any strategy.
Constituent membership and adjusted-price ZIPs still come from test-data/china/constituent_index_300.csv and test-data/china/20070104-20171027/adjust_prices/. Provider symbols are mapped from the canonical 000300.SS; the index remains the first product, as required by IndexAwareOptimizer. The report benchmark uses these same CSI300 levels. Risk-free rate is explicitly assumed zero. Index close is a price-index level, not a total-return series.
mvn -Dexec.mainClass=tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemo compile exec:java
# Alternative index source:
mvn -Dexec.mainClass=tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemo \
-Dcsi300.indexSource=sina compile exec:javaOverride local constituent paths with -Dcsi300.constituents=/data/membership.csv and -Dcsi300.prices=/data/adjust_prices. The default performs two simulations: buy-and-hold index and monthly equal-weight constituents. Opt into the original 990 optimizer simulations with -Dcsi300.fullGrid=true. The grid runs sequentially to bound memory and preserve ordering. Reports and a PNG are saved under log/; add -Dcsi300.showCharts=true to open a window.
The two-argument Java constructor accepts a caller-supplied SequentialCacheFactory<ListedProduct, StockEOD> to replay a saved authentic index response or use another feed for reproducible tests.
This tutorial uses tech.nmfin:algoquant-dist:3.3.2. The Sina/Eastmoney downloaders and shared disk cache are introduced in AlgoQuant 3.3.2 and are not present in 3.3.1. The 3.3.2 library and this examples update are released and merged. See the library release notes and docs/eod-examples-compatibility.md in the library repository for validation results and known demo limitations.
The demo wraps either EastmoneyEODWebDownloader or SinaEODWebDownloader in the shared DiskCachedEODFactory. Completed index histories are stored in ./cache/china-index/eastmoney-unadjusted or ./cache/china-index/sina-unadjusted and reused across runs for the same or contained date range. Override the root with -Dcsi300.indexCache=/path/to/cache. Wider requests fetch a new history; invalid cache files trigger a download. Empty/failed responses and unfinished current-day histories are not saved. Delete the provider cache directory when you want to pick up historical vendor revisions. The raw *WebDownloader classes remain network-only, just like Yahoo's web downloader; Yahoo's disk-first behavior is in its cache factory.
Both default baselines completed with CSV ZIP/PNG exports. Some unavailable constituent histories were skipped, and CSI300 correlation calculations were assigned NaN. This is completed with warnings, not a clean numerical result. See Compatibility-3.3.2 for source/artifact provenance and all entry-point outcomes.
Archived tutorial/execution record from before the 3.3.2 update
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These examples are tutorials that teach how to use AlgoQuant. Their numerical results are incidental and irrelevant to their teaching purpose. Use them to learn API calls, simulation setup, data flow and reporting. The technical examples use synthetic quick-mode data. Read a result here as an illustration of a library call, not as investment evidence.
Tutorials and quantitative model references · Pinned source · Javadoc
Harry Markowitz, Portfolio Selection (1952) explains diversification as a portfolio problem: an asset's risk cannot be judged independently of how its returns move with the other holdings. Expected portfolio return is a weighted mean; portfolio variance depends on the full covariance matrix.
The efficient set contains portfolios for which expected return cannot be improved without accepting more variance, or variance reduced without giving up expected return. An investor selects a tradeoff according to preferences and constraints. Holding many positively correlated assets need not provide much diversification.
The framework assumes the relevant return means and covariances are supplied. In practice, estimates can be unstable and constraints can materially change the answer. A solved optimization is therefore a set of weights under assumptions, not evidence of future outperformance. The original article was reviewed. Rolling calibration, rebalance schedules, costs and the dataset used here belong to the demo, not to the static 1952 formulation.
Reuses rolling portfolio optimization with configured CSI 300 constituents and adjusted prices. A constituent list needs time-consistent membership, and a price history needs coverage for calibration as well as trading. These dataset choices are separate from the underlying optimization theory.
Using this example. Configures CSI 300 constituents and local adjusted-price files for a portfolio simulation. The constituent CSV and price directory are independent inputs and must cover compatible dates. Paths in main are examples to adapt to your own dataset.
Model and publication. Related theory and the scope of this example are distinguished below.
Implementation in this tutorial. Reuses rolling portfolio optimization with configured CSI 300 constituents and adjusted prices. A constituent list needs time-consistent membership, and a price history needs coverage for calibration as well as trading. These dataset choices are separate from the underlying optimization theory.
| Item | Value |
|---|---|
| Status | blocked-data |
| Run | 39123124885 |
| UTC publication | 2026-10-18 11:43 UTC |
| Source commit | 2d86d836104a85863ff1e4772e06d6bb1d9b70ac |
| Data mode | original main defaults |
| Exit code | 1 |
| Elapsed seconds | 8.92 |
| Time limit seconds | 1800 |
| Maximum Java heap | 6g |
| AlgoQuant source commit | 877ff85379aedc34331fcf2696ce4e8bf33ba11f |
| NM Dev source commit | 04c12d1640fb700f52a2f7dc5cadf560040490e6 |
| Combined runtime SHA-256 | e0f4eb8ce5100d125b2a015be824b937fcb35b87d1364c60f5c1b9249a0d17ed |
The official CSI300 benchmark has no observations for the requested period. Supply its real historical price archive; constituents alone cannot reproduce the index.
Follow the repository setup for JDK 8, Maven credentials and an external NM license. From the repository root:
mvn -U -Dmaven.test.skip=true clean package
mvn exec:java -Dexec.mainClass=tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemoThe automated run uses scripts/ModelDemoRunner.java to initialize the external license before the unchanged main, save JFreeChart windows as PNGs, and exit after main returns. It uses an isolated working directory with the repository datasets/configuration linked in. Running directly may leave desktop windows open.
This is an incomplete or blocked run. Output below is diagnostic or partial, not a verified strategy result.
11:27:58.138 [main] INFO t.n.a.d.h.c.ChinaIndexConstituentsHistoryReader - reading constituents from ./test-data/china/constituent_index_300.csv...
11:28:00.066 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config.default.xml
11:28:00.067 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config/config.default.xml
11:28:00.067 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - loading config file: file:/home/runner/work/algoquant/algoquant/target/model-results/CSI300SimulationDemo/work/config/config.default.xml
11:28:00.646 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current directory: /home/runner/work/algoquant/algoquant/target/model-results/CSI300SimulationDemo/work
11:28:00.646 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current config:
11:28:00.667 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - logback.configurationFile: /home/runner/work/algoquant/algoquant/config/model-demo-logback.xml
11:28:00.668 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - nm.license: /home/runner/work/algoquant/algoquant/license/nm.lic
11:28:00.668 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_FOLDER: ./test-data
11:28:00.669 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
11:28:00.669 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
11:28:00.669 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_YAHOO: ${DATA_FOLDER}/yahoo
11:28:00.671 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_SGX: ${DATA_FOLDER}/raw/sgx
11:28:00.671 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_HOLIDAYS: ./log/holidays
11:28:00.672 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/compustat/hk
11:28:00.672 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_OUTPUT_FOLDER: ./log/
11:28:00.672 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_WIDTH: 800
11:28:00.672 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_HEIGHT: 600
11:28:02.470 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - failed to load from file, reason: no data read from file; load from web
11:28:02.470 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - reading Yahoo! data for 000300.SS from the Internet from 2005-01-01T00:00 to 2017-01-01T15:00
11:28:02.528 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - writing csv.zip file ./test-data/china/20070104-20171027/adjust_prices/000300.SS.csv.zip
11:28:02.529 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - finished writing ./test-data/china/20070104-20171027/adjust_prices/000300.SS.csv.zip
java.lang.IllegalStateException: Required CSI300 index history is unavailable for [2010-01-01T00:00,2017-01-01T00:00); supply a valid 000300.SS price archive before running the index comparison
at tech.nmfin.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300DataProvider.getCache(kkb:6)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemo.run(CSI300SimulationDemo.java:112)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.csi300.CSI300SimulationDemo.main(CSI300SimulationDemo.java:86)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:498)
at ModelDemoRunner.main(ModelDemoRunner.java:38)
Caused by: java.lang.IllegalStateException: Historical Yahoo price data are unavailable for 000300.SS @ SS in [2005-01-01T00:00,2017-01-01T00:00)
at tech.nmfin.algoquant.model.strategy.rebalance.YahooCacheProvider.f(zj:6)
at tech.nmfin.algoquant.model.strategy.rebalance.YahooCacheProvider.getCache(zj:69)
at tech.nmfin.algoquant.data.historicaldata.china.zqf.stock.csi300.CSI300DataProvider.getCache(kkb:166)
... 7 more
DEMO_RUNNER_FAILURE java.lang.IllegalStateException
java.lang.IllegalStateException: Required CSI300 index history is unavailable for [2010-01-01T00:00,2017-01-01T00:00); supply a valid 000300.SS price archive before running the index comparison
Caused by: java.lang.IllegalStateException: Historical Yahoo price data are unavailable for 000300.SS @ SS in [2005-01-01T00:00,2017-01-01T00:00)
Download CSI300SimulationDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/derived-charts/charts.json |
3 |
Use the first relevant exception and the source configuration to resolve the prerequisite or code issue, then rerun. A missing dataset requires the correct original schema and period; substituting synthetic values would be a different experiment. A timeout establishes only that this bounded attempt did not finish.
For model assumptions, original publications and adaptation limits, use the literature guide.