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Model Elliott2005StrategyDemo2
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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.
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Robert J. Elliott, John van der Hoek and William P. Malcolm, Pairs trading (2005) treats the spread between related securities as an unobserved mean-reverting Gaussian Markov process measured with additional Gaussian noise. This separates a latent relative-value signal from noisy observations.
The paper's stated contribution is a model for estimating and tracking that spread and using it to motivate pairs-trading decisions. The intuition is to trade a deviation relative to an estimated equilibrium, rather than predict each stock's outright direction. The relationship can nevertheless break down, and spread convergence does not remove execution or financing risk.
This introduction is based on the original publisher abstract and author-institution record; full-text derivations were not available for review. The repository offers several signal customizations. Posterior-state, constant-coefficient and empirical-quantile rules must not be described as identical implementations of the paper.
The same strategy is assembled through SimTemplateYahooEOD overrides and SimTemplateUtils.run. Follow newStrategy() for the active coefficients and calibration window; measures and execution count are independent template choices. The template is a wiring abstraction, not a different statistical model.
Demonstrates another (simpler) way of coding
Elliott2005StrategyDemo1 using a template.
Using this example. Expresses the Elliott example as a SimTemplateYahooEOD specification instead of assembling the simulator directly. SimTemplateUtils.run consumes the overridden strategy, products, measures and plotter. Compare this with Elliott2005StrategyDemo1 to learn the two setup styles.
Model and publication. The linked publication supplies the noisy mean-reverting-spread framework. See Elliott2005StrategyDemo1 for the distinction between that framework and the selected customization.
Implementation in this tutorial. The same strategy is assembled through SimTemplateYahooEOD overrides and SimTemplateUtils.run. Follow newStrategy() for the active coefficients and calibration window; measures and execution count are independent template choices. The template is a wiring abstraction, not a different statistical model.
| Item | Value |
|---|---|
| Status | completed |
| Run | 39114360151 |
| UTC publication | 2026-10-18 11:43 UTC |
| Source commit | 355aa9242fc2a247b256aecc8406cbb409aa5ff3 |
| Data mode | original main defaults |
| Exit code | 0 |
| Elapsed seconds | 10.19 |
| Time limit seconds | 180 |
| Maximum Java heap | 1200m |
The original main returned successfully. Read the output and model 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.elliott2005.Elliott2005StrategyDemo2The 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.
09:12:29.529 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:12:29.533 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:12:29.533 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/Elliott2005StrategyDemo2/work/config/config.default.xml
09:12:29.904 [main] INFO t.n.algoquant.util.config.AQConfig,95 - current directory: /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/Elliott2005StrategyDemo2/work
09:12:29.904 [main] INFO t.n.algoquant.util.config.AQConfig,169 - current config:
09:12:29.914 [main] INFO t.n.algoquant.util.config.AQConfig,11 - nm.license: /home/runner/work/algoquant-examples/algoquant-examples/license/nm.lic
09:12:29.917 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_FOLDER: ./test-data
09:12:29.918 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
09:12:29.918 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
09:12:29.918 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_YAHOO: ${DATA_FOLDER}/yahoo
09:12:29.919 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_SGX: ${DATA_FOLDER}/raw/sgx
09:12:29.919 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_HOLIDAYS: ./log/holidays
09:12:29.919 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/[database configuration redacted]/hk
09:12:29.920 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_OUTPUT_FOLDER: ./log/
09:12:29.920 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_WIDTH: 800
09:12:29.920 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_HEIGHT: 600
09:12:31.809 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:12:31.809 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for XOM from the Internet from 2004-11-01T00:00 to 2011-09-01T16:00
09:12:32.006 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/XOM.csv.zip
09:12:32.040 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/XOM.csv.zip
09:12:32.047 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:12:32.047 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for CVX from the Internet from 2004-11-01T00:00 to 2011-09-01T16:00
09:12:32.183 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/CVX.csv.zip
09:12:32.207 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/CVX.csv.zip
09:12:32.853 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2005-01-11T16:00: beta = [1.000000, -1.000000] , mu = 1.6959971864714547, xt = 1.771180949846004, zt = 1.7815876007080078
09:12:32.866 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2005-01-12T16:00: beta = [1.000000, -1.000000] , mu = 1.6430405547699722, xt = 1.6623501902189248, zt = 1.6649646759033203
09:12:32.870 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2005-01-13T16:00: beta = [1.000000, -1.000000] , mu = 1.7092593228540145, xt = 1.797038241965854, zt = 1.8336124420166016
... excerpt shortened; complete stdout is in the release archive ...
09:12:35.046 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-17T16:00: beta = [1.000000, -1.000000] , mu = -10.088301151150903, xt = -9.377785316214247, zt = -9.385578155517578
09:12:35.047 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-18T16:00: beta = [1.000000, -1.000000] , mu = -10.256534747292603, xt = -9.91669552706556, zt = -9.966991424560547
09:12:35.048 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-19T16:00: beta = [1.000000, -1.000000] , mu = -10.28362890382893, xt = -10.136168310533996, zt = -10.183406829833984
09:12:35.048 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-20T16:00: beta = [1.000000, -1.000000] , mu = -10.250742811429205, xt = -9.857768816168766, zt = -9.905189514160156
09:12:35.052 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-23T16:00: beta = [1.000000, -1.000000] , mu = -10.230186923832065, xt = -9.721187397762648, zt = -9.75899887084961
09:12:35.053 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-24T16:00: beta = [1.000000, -1.000000] , mu = -10.21332718217695, xt = -9.85447883314939, zt = -9.899314880371094
09:12:35.054 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-25T16:00: beta = [1.000000, -1.000000] , mu = -10.220348321938337, xt = -10.01134333996259, zt = -10.054916381835938
09:12:35.054 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-26T16:00: beta = [1.000000, -1.000000] , mu = -10.152093044722161, xt = -9.831399599432357, zt = -9.874568939208984
09:12:35.058 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-27T16:00: beta = [1.000000, -1.000000] , mu = -10.031760168419497, xt = -9.603252098969271, zt = -9.65970230102539
09:12:35.059 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-05-31T16:00: beta = [1.000000, -1.000000] , mu = -10.065679230688495, xt = -9.96394936882076, zt = -10.109367370605469
09:12:35.059 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-01T16:00: beta = [1.000000, -1.000000] , mu = -9.935240730913923, xt = -9.469177811763174, zt = -9.605499267578125
09:12:35.060 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-02T16:00: beta = [1.000000, -1.000000] , mu = -9.832188269040104, xt = -9.160977908781106, zt = -9.255966186523438
09:12:35.060 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-03T16:00: beta = [1.000000, -1.000000] , mu = -9.828268318410844, xt = -9.176520261033014, zt = -9.274818420410156
09:12:35.064 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-06T16:00: beta = [1.000000, -1.000000] , mu = -9.710136638438826, xt = -8.972130274216298, zt = -9.058277130126953
09:12:35.065 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-07T16:00: beta = [1.000000, -1.000000] , mu = -9.750197706892193, xt = -9.080487936982315, zt = -9.106578826904297
09:12:35.065 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-08T16:00: beta = [1.000000, -1.000000] , mu = -9.597346408043686, xt = -8.90185387522506, zt = -8.941986083984375
09:12:35.066 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-09T16:00: beta = [1.000000, -1.000000] , mu = -9.690388599969662, xt = -9.328253435051344, zt = -9.39902114868164
09:12:35.066 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-10T16:00: beta = [1.000000, -1.000000] , mu = -9.67024644354343, xt = -9.281400135361734, zt = -9.337226867675781
09:12:35.070 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-13T16:00: beta = [1.000000, -1.000000] , mu = -9.633640144956782, xt = -9.174427682246748, zt = -9.244338989257812
09:12:35.070 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-14T16:00: beta = [1.000000, -1.000000] , mu = -9.663932717590644, xt = -9.4318586
... excerpt shortened ...
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09:12:35.083 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-06-30T16:00: beta = [1.000000, -1.000000] , mu = -9.650857401446286, xt = -9.977188523594648, zt = -10.156932830810547
09:12:35.084 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-01T16:00: beta = [1.000000, -1.000000] , mu = -9.696571199775036, xt = -10.351772504308482, zt = -10.48065185546875
09:12:35.084 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-05T16:00: beta = [1.000000, -1.000000] , mu = -10.125375942400407, xt = -11.201608508889802, zt = -11.265495300292969
09:12:35.088 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-06T16:00: beta = [1.000000, -1.000000] , mu = -10.31311816748889, xt = -11.238848338213385, zt = -11.260627746582031
09:12:35.089 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-07T16:00: beta = [1.000000, -1.000000] , mu = -7.732593696755369, xt = -11.627390064521554, zt = -11.635562896728516
09:12:35.089 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-08T16:00: beta = [1.000000, -1.000000] , mu = -10.400818458802119, xt = -11.217564619988451, zt = -11.22408676147461
09:12:35.090 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-11T16:00: beta = [1.000000, -1.000000] , mu = -9.985579023448295, xt = -10.701382856867818, zt = -10.714824676513672
09:12:35.094 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-12T16:00: beta = [1.000000, -1.000000] , mu = -10.03315194638693, xt = -10.684997314942382, zt = -10.709587097167969
09:12:35.094 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-13T16:00: beta = [1.000000, -1.000000] , mu = -10.158980839452271, xt = -10.725342623528308, zt = -10.758617401123047
09:12:35.095 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-14T16:00: beta = [1.000000, -1.000000] , mu = -10.203947105163781, xt = -10.62838567182695, zt = -10.6656494140625
09:12:35.096 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-15T16:00: beta = [1.000000, -1.000000] , mu = -10.40269967578697, xt = -11.003519993495482, zt = -11.062679290771484
09:12:35.096 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-18T16:00: beta = [1.000000, -1.000000] , mu = -10.611194966747352, xt = -11.2455795297828, zt = -11.279449462890625
09:12:35.100 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-19T16:00: beta = [1.000000, -1.000000] , mu = -10.91876637158777, xt = -11.38275908546446, zt = -11.408004760742188
09:12:35.100 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-20T16:00: beta = [1.000000, -1.000000] , mu = -10.915057099353076, xt = -11.368979728786142, zt = -11.386825561523438
09:12:35.101 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-21T16:00: beta = [1.000000, -1.000000] , mu = -11.89816643306067, xt = -11.662911951348248, zt = -11.685943603515625
09:12:35.102 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-22T16:00: beta = [1.000000, -1.000000] , mu = -10.85936671491316, xt = -11.320711996620913, zt = -11.326034545898438
09:12:35.102 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-25T16:00: beta = [1.000000, -1.000000] , mu = -10.776340878133983, xt = -11.202341215274192, zt = -11.21865463256836
09:12:35.106 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-26T16:00: beta = [1.000000, -1.000000] , mu = -10.657375846422804, xt = -11.029391055674923, zt = -11.043941497802734
09:12:35.106 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-27T16:00: beta = [1.000000, -1.000000] , mu = -10.506217297223865, xt = -10.580990562264104, zt = -10.587371826171875
09:12:35.107 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-28T16:00: beta = [1.000000, -1.000000] , mu = -10.771876225185654, xt = -11.228678654575427, zt = -11.294952392578125
09:12:35.107 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-07-29T16:00: beta = [1.000000, -1.000000] , mu = -11.153035173344886, xt = -11.659328518872137, zt = -11.680805206298828
09:12:35.111 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-01T16:00: beta = [1.000000, -1.000000] , mu = 4.072726032630269, xt = -12.502628941707691, zt = -12.521148681640625
09:12:35.112 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-02T16:00: beta = [1.000000, -1.000000] , mu = -23.17855677605471, xt = -12.459955926023252, zt = -12.460311889648438
09:12:35.113 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-03T16:00: beta = [1.000000, -1.000000] , mu = -12.561870136156177, xt = -12.155490460182078, zt = -12.15460205078125
09:12:35.116 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-04T16:00: beta = [1.000000, -1.000000] , mu = -10.763557237231502, xt = -11.125543248949787, zt = -11.121246337890625
09:12:35.117 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-05T16:00: beta = [1.000000, -1.000000] , mu = -10.77563606174128, xt = -10.982157426533131, zt = -10.990619659423828
09:12:35.117 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-08T16:00: beta = [1.000000, -1.000000] , mu = -10.43915475091483, xt = -9.603842196273833, zt = -9.597808837890625
09:12:35.118 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-09T16:00: beta = [1.000000, -1.000000] , mu = -10.529401521514373, xt = -10.450735277285927, zt = -10.490337371826172
09:12:35.118 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-10T16:00: beta = [1.000000, -1.000000] , mu = -10.69193792325682, xt = -10.693712771033969, zt = -10.724544525146484
09:12:35.122 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-11T16:00: beta = [1.000000, -1.000000] , mu = -10.743253422223972, xt = -10.593559261236203, zt = -10.622005462646484
09:12:35.123 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-12T16:00: beta = [1.000000, -1.000000] , mu = -10.897632538171669, xt = -11.29785205648463, zt = -11.352901458740234
09:12:35.123 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-15T16:00: beta = [1.000000, -1.000000] , mu = -11.056894420950762, xt = -11.774463843282513, zt = -11.817176818847656
09:12:35.124 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-16T16:00: beta = [1.000000, -1.000000] , mu = -11.066685118577269, xt = -11.710378615459197, zt = -11.742183685302734
09:12:35.124 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-17T16:00: beta = [1.000000, -1.000000] , mu = -11.051944841381468, xt = -11.514646585715749, zt = -11.545909881591797
09:12:35.128 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-18T16:00: beta = [1.000000, -1.000000] , mu = -10.938148047915538, xt = -10.915875836513543, zt = -10.936408996582031
09:12:35.128 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-19T16:00: beta = [1.000000, -1.000000] , mu = -11.059710122957743, xt = -11.541438305160344, zt = -11.603507995605469
09:12:35.129 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-22T16:00: beta = [1.000000, -1.000000] , mu = -11.060517956520567, xt = -11.347021741626142, zt = -11.395660400390625
09:12:35.130 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-23T16:00: beta = [1.000000, -1.000000] , mu = -11.105660933769553, xt = -11.579486230935156, zt = -11.636062622070312
09:12:35.130 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-24T16:00: beta = [1.000000, -1.000000] , mu = -11.177845278510308, xt = -11.783021646845178, zt = -11.844951629638672
09:12:35.134 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-25T16:00: beta = [1.000000, -1.000000] , mu = -11.217120245249959, xt = -11.895149121759998, zt = -11.951156616210938
09:12:35.134 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-26T16:00: beta = [1.000000, -1.000000] , mu = -11.250428280370816, xt = -11.888918372558475, zt = -11.947303771972656
09:12:35.135 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-29T16:00: beta = [1.000000, -1.000000] , mu = -11.309866531782289, xt = -12.082405067004876, zt = -12.1453857421875
09:12:35.135 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-30T16:00: beta = [1.000000, -1.000000] , mu = -11.322631087537653, xt = -12.025041209176381, zt = -12.078201293945312
09:12:35.136 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2011-08-31T16:00: beta = [1.000000, -1.000000] , mu = -11.378939401161984, xt = -12.199403579621691, zt = -12.255977630615234
09:12:35.288 [main] INFO t.n.a.d.m.e.Elliott2005StrategyDemo2,203 - Performance Report:
Product Profit Loss Information Ratio For Zero Investment Omega For Periods Execution Count
CVX -11.976821899414062 -0.3390059398093545 -0.7391880296654437 91.0
XOM 6.554691314697266 0.2747583402766468 1.3046911304210491 91.0
Total -5.422130584716797 -0.35210132283435414 -0.616181305812994 182.0
Products and aggregate shown exactly as reported; P/L is monetary, not percent. Currency conventions belong to the demo.
Derived from stdout.log using the precision available in that file. Download plotted data. Undefined or malformed cells are omitted, never replaced by zero.
Parameter axes are separate. Record order is preserved; estimated parameters are not investment performance.
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 Elliott2005StrategyDemo2.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/charts/chart-01.png |
185481 |
files/derived-charts/charts.json |
1026 |
files/derived-charts/derived-01.csv |
537 |
files/derived-charts/derived-01.png |
92655 |
files/derived-charts/derived-02.csv |
48730 |
files/derived-charts/derived-02.png |
61934 |
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.