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Model Infantino2010ParamAnalysisDemo
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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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Leandro R. Infantino and Savion Itzhaki, Developing high-frequency equities trading models (MIT MBA thesis, 2010) asks whether common movements across equities can help forecast short-horizon returns. The thesis studies liquid US equities at intraday frequencies, roughly seconds to minutes; it is not a daily moving-average crossover model.
The model uses principal component analysis (PCA) to summarize correlated stock returns with a smaller set of common factors. Regressions relate accumulated past component returns to future accumulated stock returns. This accounts for different stock exposures rather than assuming every stock should follow the same market-average return. The thesis also discusses deciding between mean-reverting and trending behavior.
The useful distinction is between finding common factors, fitting a forecast, and turning that forecast into positions. Evidence of a fitted relationship alone does not establish executable profits after costs. This repository adapts the idea to daily Yahoo data; its observation horizons, universe, sizing and regime settings must be read separately from the thesis. See thesis Sections 2.2–2.4 for the model. The original model sections were reviewed.
Here T=500 is the rolling log-return sample length, k=2 is the retained dimension, N is the filtered IT-stock count, and H=1,21,...,201 is an accumulation/forecast horizon in observations. Regime switching is disabled. SensitivityAnalyzer creates an Infantino2010Strategy per parameter set; synchronized order books supply aligned prices. Infantino2010LongShortConstantValue reads signal.dReturns(), uses fixed per-stock notional and does not automatically invest simulator cash. The configured Commission measure records a statistic; it does not by itself install a broker fee scheme. Search results on the same interval are not holdout validation.
Using this example. Uses SensitivityAnalyzer to evaluate Infantino strategy parameter sets on Yahoo history. The stock universe is filtered for data availability before simulation. Model fitting windows, forecast horizons and retained components have separate roles; parameter-search results are in-sample comparisons unless you add a holdout period.
Model and publication. The thesis combines PCA dimension reduction with regressions of future accumulated log returns on past accumulated principal-component returns; a separate regime decision can change how deviations are traded. This is a daily-bar adaptation, not a reproduction of its one-second quote experiment.
Implementation in this tutorial. Here T=500 is the rolling log-return sample length, k=2 is the retained dimension, N is the filtered IT-stock count, and H=1,21,...,201 is an accumulation/forecast horizon in observations. Regime switching is disabled. SensitivityAnalyzer creates an Infantino2010Strategy per parameter set; synchronized order books supply aligned prices. Infantino2010LongShortConstantValue reads signal.dReturns(), uses fixed per-stock notional and does not automatically invest simulator cash. The configured Commission measure records a statistic; it does not by itself install a broker fee scheme. Search results on the same interval are not holdout validation.
| 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 | 103.86 |
| 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.infantino2010.Infantino2010ParamAnalysisDemoThe 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.
09:12:34.215 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:12:34.218 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:12:34.219 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/Infantino2010ParamAnalysisDemo/work/config/config.default.xml
09:12:34.564 [main] INFO t.n.algoquant.util.config.AQConfig,95 - current directory: /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/Infantino2010ParamAnalysisDemo/work
09:12:34.564 [main] INFO t.n.algoquant.util.config.AQConfig,169 - current config:
09:12:34.582 [main] INFO t.n.algoquant.util.config.AQConfig,11 - nm.license: /home/runner/work/algoquant-examples/algoquant-examples/license/nm.lic
09:12:34.582 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_FOLDER: ./test-data
09:12:34.582 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
09:12:34.582 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
09:12:34.582 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_YAHOO: ${DATA_FOLDER}/yahoo
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_SGX: ${DATA_FOLDER}/raw/sgx
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_HOLIDAYS: ./log/holidays
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/[database configuration redacted]/hk
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_OUTPUT_FOLDER: ./log/
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_WIDTH: 800
09:12:34.583 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_HEIGHT: 600
09:12:35.938 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:12:35.939 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for ACN from the Internet from 2007-01-03T00:00 to 2014-12-31T16:00
09:12:36.080 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/ACN.csv.zip
09:12:36.120 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/ACN.csv.zip
09:12:36.128 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:12:36.128 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for ADBE from the Internet from 2007-01-03T00:00 to 2014-12-31T16:00
09:12:36.361 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/ADBE.csv.zip
09:12:36.381 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/ADBE.csv.zip
09:12:36.382 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:12:36.382 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for AMD from the Internet from 2007-01-03T00:00 to 2014-12-31T16:00
09:12:36.500 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/AMD.csv.zip
... excerpt shortened; complete stdout is in the release archive ...
MPWR -1.2709611882455647 1.9727898991726227 -0.11311310779333403 3.5881215983162747E-6 104.0
MRVL 0.4778439709916711 1.9453811651298962 -0.005257471309911862 1.7754665388565686E-6 103.0
MSFT -1.1114909470779821 2.1146331105722234 -0.3634662528069963 1.7381780415101787E-6 112.0
MSI -0.8228194169932976 2.2322121675003874 -0.24022141597489682 1.578706846952711E-6 118.0
MU -2.4741997689707205 2.1015455490203387 -0.0407022605247601 5.294563384652204E-6 110.0
NTAP 2.5674345382722095 2.306423214351914 0.5226178208197856 1.5514793809394945E-6 122.0
NVDA 2.539635897963308 2.1751152613279547 0.5210679181653983 8.485185238368314E-7 115.0
ON 0.5379791358718649 1.987979035162224 0.18425504842024995 2.814252187029406E-6 105.0
ORCL 3.445429663057439 2.4541737784215445 1.32506391086024 6.123341880492446E-7 130.0
PTC 0.3278977709123865 1.681956470803979 0.12001974353743049 1.3305152918010178E-6 89.0
QCOM 1.929388534044847 2.1697793124539615 0.7805255744473876 9.72589729580855E-7 115.0
ROP -0.9934085273416713 1.928253285918289 -0.4320367188830943 1.4218024801747954E-6 102.0
SNPS -1.0677922752220184 1.866562152809175 -0.4944064022058491 1.2680225419221844E-6 99.0
STX 1.6121895571704954 1.6099073825489252 0.20318413279349617 4.012683315911464E-6 84.0
SWKS -0.6231701641809195 2.286439254088502 0.19392951564690833 3.026102622929563E-6 120.0
TDY 0.7020513548050076 1.8501262301922299 0.19483546674466196 1.0573957058253339E-6 98.0
TER 1.1835844756569713 1.9899481272416784 0.6925168360686549 1.3439234223647587E-6 105.0
TRMB -1.8854303476400673 1.9849951347387578 -0.5463226479846827 2.2984134109212733E-6 105.0
TXN 0.07414153055287898 1.9662463955164375 0.28466075325682716 1.7725659475614262E-6 104.0
TYL -0.41126115527004004 2.580546026903528 -0.13913194580957722 2.8211487167107556E-6 136.0
VRSN -0.9378872577799484 1.7024101203041664 -0.5872814095632701 2.177447886106697E-6 90.0
WDC -0.647437087725848 1.830242766217387 0.0350575626928879 4.192490383099525E-6 96.0
ZBRA -1.4132296208990738 2.081571448417486 -0.13443484814289863 2.3038080126331873E-6 110.0
Total 3.749304647441022 107.92122189000168 0.20590250111733507 4.1865092546356666E-5 5703.0201:
Performance Report:
Product Profit Loss Commission Information Ratio For Zero Investment Max Drawdown Percentage Execution Count
AAPL -1.472534574335441 2.581006363471706 -0.17555944801043297 2.5781477034916915E-6 136.0
ACN 0.8243300642352551 2.719482006145676 0.15133057673994918 1.4118482727643278E-6 144.0
ADBE 3.9035067830700427 3.212764029820034 0.6272141464387941 1.015866790039013E-6 170.0
ADI 2.625461952877231 2.871385701923733 0.4814686150178058 7.871230794951658E-7 152.0
ADSK -0.06055491487495601 2.760151625707531 0.013738648354478411 2.3942779746214258E-6 146.0
AKAM 0.7182742109289393 2.5763199543622757 0.18058460250629854 2.3212564768705675E-6 136.0
AMAT 1.7587813176214695 2.8319053447343983 0.47178096259622837 1.0019131110381854E-6 150.0
AMD -2.7174147663172334 2.8976797947426416 -0.3151493128672068 5.556964536554767E-6 153.0
APH -1.9543747417628765 2.1576299779276775 -0.7480216717464545 2.835078172436644E-6 114.0
CDNS 0.3070674284826964 2.9905957162372165 0.03573450013766991 2.4351393515527385E-6 158.0
CIEN 1.6602623865474015 2.4009387239591415 0.1608414644932523 2.8902779623596108E-6 127.0
COHR -1.846840302925557 2.167292658485857 -0.759962049436942 2.5598880095783205E-6 115.0
CRM 0.78703765606042 3.070615558461814 0.0793601238986493 2.3715268648252148E-6 162.0
CSCO 1.0999102399218827 2.563960526833924 0.2671017181222004 1.0513525684314984E-6 136.0
CTSH 4.441922378959134 3.3686294497148377 0.8095492247355225 9.167881651951374E-7 178.0
FFIV 1.3056172794895247 2.9357059585212526 0.3422621586589425 2.108090798804178E-6 155.0
FICO -0.7717537487624213 2.8388436493693616 -0.2423842034230487 2.3809882136521074E-6 150.0
FLEX -1.5122091503581032 3.0676821577078646 -0.1559765770756692 2.4092994369728737E-6 162.0
FSLR -1.0768709615804255 2.277445879001172 -0.33391662659040755 3.030166033138209E-6 121.0
GEN 3.551045857020654 3.3951934415876663 0.9375331923683338 6.293516259296602E-7 180.0
GLW 3.9498440576717257 3.435718276115586 0.7374550925430408 1.0159390846588728E-6 182.0
HPQ -4.980386469047517 2.2988753755277003 -0.7962540689851767 5.485311810753906E-6 122.0
IBM 0.10243526205886155 2.622991588684181 0.216700804449135 8.056508586826945E-7 139.0
INTC 0.3527837304864079 2.5679469966130237 0.3922096506337837 8.622819951334449E-7 136.0
INTU 1.1298271616687998 2.9860176781734924 0.4386091172165257 6.240665539451187E-7 158.0
IT -0.7498222441645339 1.8197793272483243 -0.4779000248022529 1.5820616199736399E-6 96.0
JBL -0.24523452983703464 2.6879954087514215 -0.042305680501526 3.184125431774192E-6 142.0
KLAC -1.3531550277257338 2.1965947894851245 -0.27581554762540356 2.39752534195406E-6 116.0
LRCX 0.3822003655368462 2.34580167704774 0.1787238855893744 1.3460435127402452E-6 124.0
MCHP 1.6943335577379912 2.493725239505363 0.31913317976187927 1.1433230333250637E-6 132.0
MPWR 2.1552337054163218 3.0637925259954613 0.4464002271083952 1.2599327732586616E-6 162.0
MRVL 0.4648130799178034 3.0775836872014404 -0.09430124890561571 1.915746417667092E-6 163.0
MSFT -0.27774624538142234 2.6820113901469353 -0.33889549920112916 1.263677055660433E-6 142.0
MSI -0.6168282866710797 2.423549779783661 -0.25132319980655166 2.662108680878705E-6 128.0
MU 2.825645263772458 2.5540860548159308 0.2714962342900678 2.8947162437011795E-6 134.0
NTAP 0.24079721292946488 2.4577628017270983 0.21024264370725265 1.6596807300189123E-6 130.0
NVDA 3.717935645021498 3.4380464921922895 1.073339672988292 1.2014604798099826E-6 182.0
ON 2.0567439449951053 2.8720276768441435 0.41189139289931254 1.9970898225434886E-6 152.0
ORCL 2.322901619365439 3.3589904816112233 0.7030368829630242 7.192387699050393E-7 178.0
PTC -0.7672956904862076 2.2301309909607316 -0.25326700794623314 1.6007752286742295E-6 118.0
QCOM 1.7859727850882336 2.811377034517513 0.3535076195043811 8.14753983083357E-7 149.0
ROP 0.934133990900591 2.495483662184124 0.2402266243415167 1.1150791123718838E-6 132.0
SNPS 0.40169231151230633 2.376861803309406 -0.01890466205423459 8.298076718511577E-7 126.0
STX -2.9659469104371965 2.2878776061481414 -0.7295362997197302 4.183380524987361E-6 120.0
SWKS 1.3604635508963838 2.4346011965168475 0.3245829941777305 1.9397256754615155E-6 128.0
TDY 0.296417135396041 2.453822875448064 -0.05591507141588686 1.2366079881965247E-6 130.0
TER 1.210199769004248 2.3098573777886378 0.29771203959824644 2.1236184045275505E-6 122.0
TRMB 3.202681870665401 2.590670889548426 0.4889287308614065 1.433551933344449E-6 137.0
TXN 2.249973104801029 2.873207107480004 0.4611168891930262 7.749889158628386E-7 152.0
TYL 0.12110724649392068 2.844035537025266 0.00996308143566803 1.134788603491092E-6 150.0
VRSN 0.6111561333527789 2.2684965352118276 0.12551585481576774 1.4920830305352223E-6 120.0
WDC -2.628979930188507 2.657707733201406 -0.6573449820824345 3.432971341685994E-6 140.0
ZBRA -1.0775427262997255 2.49670639752772 -0.12916778597559456 1.7420743678488076E-6 132.0
Total 29.477018838748336 142.19936251305413 0.341080253367501 2.5542963701326094E-5 7519.0DEMO_RUNNER_MAIN_RETURNED
H=1,21,…,201 observations, matching the source parameter sweep; in-sample sensitivity, not holdout 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 Infantino2010ParamAnalysisDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
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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.