Model CoinBacktestDemo

CoinBacktestDemo — quantitative model tutorial

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Paper introduction

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.

How this demo connects to the idea

Reuses asset-allocation algorithms on a historical crypto dataset; a crypto universe and rebalancing experiment are not a reproduction of Markowitz’s original illustrations. Inspect listing dates, missing observations and constituent selection before interpreting optimizer comparisons.

What this example teaches

Compares the different asset allocation algorithms.

Using this example. Loads the local crypto-markets CSV ZIP through JesseventCoinDataUtils and compares allocation algorithms. The dataset path is test-data/coin/crypto-markets.csv.zip; its historical coverage and constituent selection constrain the comparison.

Model and publication. Related theory and the scope of this example are distinguished below.

Implementation in this tutorial. Reuses asset-allocation algorithms on a historical crypto dataset; a crypto universe and rebalancing experiment are not a reproduction of Markowitz’s original illustrations. Inspect listing dates, missing observations and constituent selection before interpreting optimizer comparisons.

Verified execution record

Item	Value
Status	failed
Run	39114360151
UTC publication	2026-10-18 09:54 UTC
Source commit	355aa9242fc2a247b256aecc8406cbb409aa5ff3
Data mode	original main defaults
Exit code	1
Elapsed seconds	0.99
Time limit seconds	180
Maximum Java heap	1200m

The demo raised an exception or did not return normally. This is not a verified numerical result.

Reproduce the calculation

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.coin.CoinBacktestDemo

The 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.

Observed output

This is an incomplete or blocked run. Output below is diagnostic or partial, not a verified strategy result.

java.time.format.DateTimeParseException: Text '2013-04-28' could not be parsed: Unable to obtain LocalDateTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed
	at java.time.format.DateTimeFormatter.createError(DateTimeFormatter.java:1920)
	at java.time.format.DateTimeFormatter.parse(DateTimeFormatter.java:1855)
	at java.time.LocalDateTime.parse(LocalDateTime.java:492)
	at tech.nmfin.algoquant.data.historicaldata.coin.jessevent.JesseventCoinEODMktCacheFactory.s(rhb:47)
	at tech.nmfin.algoquant.data.historicaldata.coin.jessevent.JesseventCoinEODMktCacheFactory.<init>(rhb:159)
	at tech.nmfin.algoquant.data.historicaldata.coin.jessevent.JesseventCoinDataUtils.s(vhb:128)
	at tech.nmfin.algoquant.data.historicaldata.coin.jessevent.JesseventCoinDataUtils.<init>(vhb:62)
	at tech.nmfin.algoquant.demo.model.portfoliooptimization.coin.CoinBacktestDemo.main(CoinBacktestDemo.java:91)
	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.time.DateTimeException: Unable to obtain LocalDateTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed
	at java.time.LocalDateTime.from(LocalDateTime.java:461)
	at java.time.format.Parsed.query(Parsed.java:226)
	at java.time.format.DateTimeFormatter.parse(DateTimeFormatter.java:1851)
	... 11 more
Caused by: java.time.DateTimeException: Unable to obtain LocalTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed
	at java.time.LocalTime.from(LocalTime.java:409)
	at java.time.LocalDateTime.from(LocalDateTime.java:457)
	... 13 more

Diagnostic and prerequisites

DEMO_RUNNER_FAILURE java.time.format.DateTimeParseException
java.time.format.DateTimeParseException: Text '2013-04-28' could not be parsed: Unable to obtain LocalDateTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed
	at java.time.format.DateTimeFormatter.createError(DateTimeFormatter.java:1920)
Caused by: java.time.DateTimeException: Unable to obtain LocalDateTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed
Caused by: java.time.DateTimeException: Unable to obtain LocalTime from TemporalAccessor: {},ISO resolved to 2013-04-28 of type java.time.format.Parsed

Downloadable evidence

Download CoinBacktestDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.

Export	Bytes
files/derived-charts/charts.json	3

Interpreting the result

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.