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Model EconomicModelStrategyDemo
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This quantitative model reference is provided for study, further research and application within the AlgoQuant framework. Read the research idea and implementation choices separately from the execution record.
Tutorials and quantitative model references · Pinned source · Javadoc
Eugene F. Fama and Kenneth R. French, Common risk factors in the returns on stocks and bonds (1993) investigates whether a small set of common risk factors explains shared variation in stock and bond returns. The familiar equity factors are market excess return, size (SMB) and book-to-market value (HML); the paper also considers bond-market factors.
A factor model separates exposure to common factors from the residual specific to each asset. For portfolio construction, this can explain why apparently different assets still carry similar risks. Estimated factor loadings are not automatically return forecasts or profitable trade signals.
This is related context, not a claim that the demo recreates Fama–French portfolios or replicates the 1993 empirical study. The economic and fundamental demos choose their own inputs and estimators. The original publication abstract and Kenneth French's factor definitions were checked; the full article was not independently reviewed.
FactorExcessBenchmark, FactorSMB and FactorHML feed EconomicFactorModel, which estimates exposures/premia over the configured trailing window. FactorStrategy then uses a chosen optimizer and diversification layer to rebalance. Factor measurement, database construction and reporting dates must be consistent; financial statement availability dates matter. The code’s factor implementations, universe and optimizer choices define this experiment.
A demo on running a fundamental factor model trading strategy.
Using this example. Builds a FactorStrategy using economic factors and a rolling data window, then schedules rebalancing and registers account measures. This example needs the configured Compustat/filesystem or SQL data source; public Yahoo prices alone do not supply its factor data. Keep calibration data earlier than the trade decisions when changing windows.
Model and publication. Fama–French is background for the market/size/value factor vocabulary. The linked author documentation defines SMB and HML; this application is not a reproduction of the original stock-and-bond empirical study.
Implementation in this tutorial. FactorExcessBenchmark, FactorSMB and FactorHML feed EconomicFactorModel, which estimates exposures/premia over the configured trailing window. FactorStrategy then uses a chosen optimizer and diversification layer to rebalance. Factor measurement, database construction and reporting dates must be consistent; financial statement availability dates matter. The code’s factor implementations, universe and optimizer choices define this experiment.
| Item | Value |
|---|---|
| Status | completed |
| Run | 39122217560 |
| UTC publication | 2026-10-18 11:43 UTC |
| Source commit | f497645628296f441e1e254127a7547d15106bbc |
| Data mode | original main defaults |
| Exit code | 0 |
| Elapsed seconds | 39.71 |
| Time limit seconds | 1800 |
| Maximum Java heap | 6g |
| AlgoQuant source commit | aba178deb0e78dc72184546a1e0934c3abce74a1 |
| NM Dev source commit | 04c12d1640fb700f52a2f7dc5cadf560040490e6 |
| Combined runtime SHA-256 | c1199a1c204cc4ffdf937b756bceacaf30bb64f35a844770490fea268742379b |
The original main returned successfully without a detected calculation error. Read its assumptions before interpreting it.
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.factormodel.EconomicModelStrategyDemoThe 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.
11:14:25.265 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config.default.xml
11:14:25.268 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config/config.default.xml
11:14:25.268 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - loading config file: file:/home/runner/work/algoquant/algoquant/target/model-results/EconomicModelStrategyDemo/work/config/config.default.xml
11:14:25.591 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current directory: /home/runner/work/algoquant/algoquant/target/model-results/EconomicModelStrategyDemo/work
11:14:25.591 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current config:
11:14:25.598 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - logback.configurationFile: /home/runner/work/algoquant/algoquant/config/model-demo-logback.xml
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - nm.license: /home/runner/work/algoquant/algoquant/license/nm.lic
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_FOLDER: ./test-data
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_YAHOO: ${DATA_FOLDER}/yahoo
11:14:25.599 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_SGX: ${DATA_FOLDER}/raw/sgx
11:14:25.600 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_HOLIDAYS: ./log/holidays
11:14:25.600 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/compustat/hk
11:14:25.600 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_OUTPUT_FOLDER: ./log/
11:14:25.600 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_WIDTH: 800
11:14:25.600 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_HEIGHT: 600
11:14:25.619 [main] INFO t.n.a.d.h.compustat.zip.CompustatZipCompanyData - reading the company file: /home/runner/work/algoquant/algoquant/target/model-results/EconomicModelStrategyDemo/work/./test-data/compustat/hk/company.csv.zip
11:14:25.690 [main] INFO t.n.a.d.h.c.zip.CompustatZipAccountingData - reading the company accounting file: /home/runner/work/algoquant/algoquant/target/model-results/EconomicModelStrategyDemo/work/./test-data/compustat/hk/monthlyAccounting.1995.2010.csv.zip
11:14:27.002 [main] INFO t.n.a.d.h.compustat.zip.CompustatZipTradingData - reading the daily return file: /home/runner/work/algoquant/algoquant/target/model-results/EconomicModelStrategyDemo/work/./test-data/compustat/hk/dailyReturn.1995.2011.csv.zip
11:14:38.932 [main] INFO t.n.algoquant.data.historicaldata.hk.HSIReader - reading the HSI file: ./test-data/HSI.csv.zip
11:14:39.628 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - price or trading data for company 20924002W was not found
11:14:39.628 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - company history not found for id (20924002W)
11:14:39.647 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - price or trading data for company 10042401W was not found
11:14:39.647 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - company history not found for id (10042401W)
11:14:39.656 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - price or trading data for company 10374502W was not found
11:14:39.656 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - company history not found for id (10374502W)
11:14:39.669 [main] WARN t.n.a.d.h.compustat.zip.CompustatZipCompanyDB - price or trading data for company 20872602W was not found
... excerpt shortened; complete stdout is in the release archive ...
factor excess return of benchmark:
1202 HK @ HKEX: 0.405673 (1.201461), 8026 HK @ HKEX: -0.754384 (4.117193), 1172 HK @ HKEX: 1.269127 (0.864222), 513 HK @ HKEX: 0.523249 (0.505052), 21 HK @ HKEX: -0.048830 (0.334677), 655 HK @ HKEX: 0.687613 (0.669624), 155 HK @ HKEX: -0.684313 (3.054850), 321 HK @ HKEX: -0.176763 (0.396159), 1135 HK @ HKEX: 0.741275 (0.298328), GRHHLQ HK @ HKEX: -0.000000 (0.000000), 82 HK @ HKEX: 2.047422 (1.631779), 697 HK @ HKEX: 0.501588 (1.089813), 505893Q HK @ HKEX: -0.000000 (0.000000), 268 HK @ HKEX: 0.015813 (0.768179), 70 HK @ HKEX: 2.295383 (2.934636), 765 HK @ HKEX: 0.343207 (0.651998), 107 HK @ HKEX: 1.252943 (0.419600), 1026Q HK @ HKEX: -0.000000 (0.000000), 918 HK @ HKEX: -0.750350 (2.223375), 137 HK @ HKEX: 0.855804 (0.960830), 270 HK @ HKEX: 0.711611 (0.625654), 411 HK @ HKEX: -0.985021 (1.037193), 49 HK @ HKEX: 0.572240 (0.548490), 29 HK @ HKEX: -0.334803 (1.304307), 201 HK @ HKEX: 0.990728 (1.061417), 19 HK @ HKEX: 0.652079 (0.285078), 1053 HK @ HKEX: 0.392203 (0.790909), 403 HK @ HKEX: 0.896673 (0.409356), 1001 HK @ HKEX: 0.148077 (0.723534), CHNACQ HK @ HKEX: -0.156292 (0.569855), 611 HK @ HKEX: 0.237945 (0.522391), 1215 HK @ HKEX: 5.530612 (6.039407), 330 HK @ HKEX: 0.776859 (0.581006), 32 HK @ HKEX: 0.309719 (0.328084), INGBEIQ HK @ HKEX: -0.000000 (0.000000), 3 HK @ HKEX: 0.690360 (0.326916), 152 HK @ HKEX: 0.918689 (0.791251), 44 HK @ HKEX: 0.803588 (0.776848), 2383 HK @ HKEX: -0.083109 (0.368486), 455 HK @ HKEX: 0.536624 (1.292851), 1036 HK @ HKEX: -0.342720 (0.639273), 81 HK @ HKEX: 0.874578 (1.562473), 457 HK @ HKEX: 0.806290 (1.002926), 234 HK @ HKEX: 0.214382 (0.949694), 57 HK @ HKEX: 0.478135 (0.570014), 132 HK @ HKEX: 0.929446 (1.528496), 1047 HK @ HKEX: 2.677853 (0.978573), 187 HK @ HKEX: 1.182450 (0.685849), 689 HK @ HKEX: 2.243033 (1.429621), 582335Q HK @ HKEX: -0.000000 (0.000000), 979 HK @ HKEX: -0.533040 (1.152930), 231 HK @ HKEX: 1.119126 (2.071651), 122 HK @ HKEX: -0.155387 (0.642399), 191 HK @ HKEX: -0.179850 (1.020679), 647 HK @ HKEX: 0.005692 (0.571641), 156 HK @ HKEX: 0.353884 (1.078424), 256 HK @ HKEX: 1.505835 (1.481388), 37 HK @ HKEX: 0.519061 (0.513620), 161 HK @ HKEX: 1.023559 (1.541766), 254 HK @ HKEX: -1.966435 (1.278868), 236 HK @ HKEX: -0.631710 (0.415662), 665 HK @ HKEX: 1.151645 (0.656552), 562 HK @ HKEX: 0.427282 (0.455357), 180 HK @ HKEX: -0.035256 (0.664456), PCIHQ HK @ HKEX: 0.532689 (0.870386), 377 HK @ HKEX: 0.987116 (0.447179), 717 HK @ HKEX: -0.000000 (0.000000), 287 HK @ HKEX: -0.370552 (0.330713), 53 HK @ HKEX: 0.080056 (0.455623), 5 HK @ HKEX: -0.056248 (0.128733), 242 HK @ HKEX: 0.980734 (0.984822), 1123 HK @ HKEX: 0.216927 (0.370917), 676 HK @ HKEX: 0.268475 (0.191862), 530 HK @ HKEX: 2.547282 (2.790467), 567 HK @ HKEX: -0.948908 (2.994733), 01550905W @ HKEX: -0.000000 (0.000000), 393 HK @ HKEX: 0.382580 (0.449013), 372 HK @ HKEX: 1.047331 (0.877580), 5200115Q HK @ HKEX: -0.529210 (0.445927), 683 HK @ HKEX: 0.796457 (0.742605), 1310Q HK @ HKEX: -0.000000 (0.000000), 1166 HK @ HKEX: -1.098927 (2.047262), 212 HK @ HKEX: 0.346845 (0.379635), 205 HK @ HKEX: 0.529913 (0.927970), 233 HK @ HKEX: 0.174015 (0.597113), 170 HK @ HKEX: 0.595339 (0.673763), CDL HK @ HKEX: -0.000000 (0.000000), CHEVCQ HK @ HKEX: -0.000000 (0.000000), 605 HK @ HKEX: 0.647786 (1.533777), 604 HK @ HKEX: -0.232687 (1.873170), 295 HK @ HKEX: -0.000000 (0.000000), 467 HK @ HKEX: 1.602758 (2.472575), 376 HK @ HKEX: 0.837347 (2.217739), 165 HK @ HKEX: 0.507905 (1.061201), 370 HK @ HKEX: 0.231836 (1.519695), 45 HK @ HKEX: 0.491370 (0.553442), 351 HK @ HKEX: -0.000000 (0.000000), 2284974Q HK @ HKEX: 0.022898 (0.161691), 267 HK @ HKEX: 0.638861 (0.376343), 684 HK @ HKEX: 0.322552 (0.233319), 139 HK @ HKEX: 0.006396 (2.642978), 218 HK @ HKEX: 1.331739 (1.009179), 6 HK @ HKEX: 0.276304 (0.133479), 227 HK @ HKEX: 0.798235 (0.622077), 141 HK @ HKEX: 0.700090 (0.757544), 831 HK @ HKEX: 0.250340 (0.355467), 506 HK @ HKEX: 0.720387 (0.844967), 544 HK @ HKEX: 0
... excerpt shortened ...
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profit history:
2006-01-01: 0.0
2006-04-01: 242151.1131216964
2006-07-01: -14150.24974271838
2006-10-01: -70784.87704391807
2007-01-01: -66205.43396502735
2007-04-01: 102519.63647860552
2007-07-01: 292899.24772599165
2007-10-01: 72985.97132289222
2008-01-01: -71950.41548437862
2008-04-01: -337062.95117422816
2008-07-01: -424058.30637875205
2008-10-01: -664951.0606200148
2009-01-01: -767794.1155066543
2009-04-01: -718933.9144525504
11:15:01.210 [main] INFO t.n.a.d.m.factormodel.EconomicModelStrategyDemo - finished this simulation in PT35.951S
Execution caveat: Main returned, but the log contains exceptions, failed operations or undefined values. This records process completion only; inspect the diagnostic below before treating any output as a valid backtest.
2007-04-01: 102519.63647860552
2007-07-01: 292899.24772599165
2007-10-01: 72985.97132289222
2008-01-01: -71950.41548437862
2008-04-01: -337062.95117422816
2008-07-01: -424058.30637875205
2008-10-01: -664951.0606200148
2009-01-01: -767794.1155066543
2009-04-01: -718933.9144525504
11:15:01.210 [main] INFO t.n.a.d.m.factormodel.EconomicModelStrategyDemo - finished this simulation in PT35.951S
DEMO_RUNNER_MAIN_RETURNED
DEMO_RUNNER_CHARTS 0
Uses only the values actually printed; a flat zero series remains flat and is not evidence of profitable trading.
Derived from stdout.log using the precision available in that file. Download plotted data. Undefined or malformed cells are omitted, never replaced by zero.
Download EconomicModelStrategyDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/derived-charts/charts.json |
511 |
files/derived-charts/derived-01.csv |
683 |
files/derived-charts/derived-01.png |
75815 |
Read the reported units: optimizer weights, model-fit coefficients, forecast correlations and simulated P/L are different outputs. Synthetic runs demonstrate the API rather than historical market returns. Inspect undefined values and open positions instead of replacing them with zero. Chart exports visualize exactly this run.
For model assumptions, original publications and adaptation limits, use the literature guide.