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Model Infantino2010PredictionAnalysisDemo
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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.
DynamicInfantino2010PCA receives T=500, k=2 and H=120 by default; N follows setupStocks(). MovingWindowOfReturns creates realized log-return comparisons and Covariance accumulates prediction/realization diagnostics. The CSV is a forecast-diagnostic output, not simulated account NAV. Overlapping H-period observations can be serially dependent; correlation alone does not establish tradable performance.
Analyzes the correlation between predicted returns and realized returns to check if the prediction algorithm has any prediction power.
Using this example. Compares predicted and realized returns for the Infantino model and writes correlation analysis to log/pca-corr.csv.zip. This is forecast analysis rather than a funded portfolio simulation; a prediction correlation is not an account return.
Model and publication. PCA supplies a low-dimensional systematic-return representation for an accumulated-return regression. This example studies the forecasts on daily data, unlike the thesis’s intraday experiment.
Implementation in this tutorial. DynamicInfantino2010PCA receives T=500, k=2 and H=120 by default; N follows setupStocks(). MovingWindowOfReturns creates realized log-return comparisons and Covariance accumulates prediction/realization diagnostics. The CSV is a forecast-diagnostic output, not simulated account NAV. Overlapping H-period observations can be serially dependent; correlation alone does not establish tradable performance.
| 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 | 11.02 |
| 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.infantino2010.Infantino2010PredictionAnalysisDemoThe 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.
11:14:31.267 [main] INFO t.n.algoquant.demo.model.infantino2010.TestData - 16 stocks have insufficient data
11:14:31.295 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config.default.xml
11:14:31.296 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - looking up configuration file: config/config.default.xml
11:14:31.296 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - loading config file: file:/home/runner/work/algoquant/algoquant/target/model-results/Infantino2010PredictionAnalysisDemo/work/config/config.default.xml
11:14:31.552 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current directory: /home/runner/work/algoquant/algoquant/target/model-results/Infantino2010PredictionAnalysisDemo/work
11:14:31.552 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - current config:
11:14:31.562 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - logback.configurationFile: /home/runner/work/algoquant/algoquant/config/model-demo-logback.xml
11:14:31.562 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - nm.license: /home/runner/work/algoquant/algoquant/license/nm.lic
11:14:31.563 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_FOLDER: ./test-data
11:14:31.563 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
11:14:31.563 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
11:14:31.563 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_YAHOO: ${DATA_FOLDER}/yahoo
11:14:31.563 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_SGX: ${DATA_FOLDER}/raw/sgx
11:14:31.564 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_HOLIDAYS: ./log/holidays
11:14:31.564 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/compustat/hk
11:14:31.564 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_OUTPUT_FOLDER: ./log/
11:14:31.565 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_WIDTH: 800
11:14:31.565 [main] INFO tech.nmfin.algoquant.util.config.AQConfig - PDF_PLOT_HEIGHT: 600
11:14:32.587 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - failed to load from file, reason: no data read from file; load from web
11:14:32.587 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - reading Yahoo! data for AMZN from the Internet from 2009-01-01T00:00 to 2012-01-01T16:00
11:14:32.654 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - writing csv.zip file ./log/AMZN.csv.zip
11:14:32.676 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - finished writing ./log/AMZN.csv.zip
11:14:32.677 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - failed to load from file, reason: no data read from file; load from web
11:14:32.677 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - reading Yahoo! data for ORCL from the Internet from 2009-01-01T00:00 to 2012-01-01T16:00
11:14:32.731 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - writing csv.zip file ./log/ORCL.csv.zip
11:14:32.741 [main] INFO t.n.a.d.h.yahoo.YahooEODCsvZipFileWriter - finished writing ./log/ORCL.csv.zip
11:14:32.741 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - failed to load from file, reason: no data read from file; load from web
11:14:32.741 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory - reading Yahoo! data for CSCO from the Internet from 2009-01-01T00:00 to 2012-01-01T16:00
... excerpt shortened; complete stdout is in the release archive ...
11:14:34.490 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [677] 2011-09-08T16:00: [10.86299991607666, 21.57562828063965, 10.480342864990234, 13.631964683532715, 24.989999771118164, 13.261197090148926, 11.48948860168457, 20.252729415893555, 91.98573303222656, 6.743304252624512]
11:14:34.492 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [678] 2011-09-09T16:00: [10.569499969482422, 20.99424934387207, 10.177963256835938, 13.494959831237793, 24.639999389648438, 13.010578155517578, 11.290291786193848, 19.88197898864746, 89.82598876953125, 6.398653984069824]
11:14:34.494 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [679] 2011-09-12T16:00: [10.82800006866455, 21.599857330322266, 10.351670265197754, 13.8922700881958, 25.200000762939453, 13.141217231750488, 11.363865852355957, 19.997844696044922, 90.41040802001953, 6.4128546714782715]
11:14:34.496 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [680] 2011-09-13T16:00: [10.976499557495117, 22.383098602294922, 10.518946647644043, 14.221076011657715, 25.18000030517578, 13.126344680786133, 11.50384521484375, 20.113697052001953, 90.9726333618164, 6.446933746337891]
11:14:34.499 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [681] 2011-09-14T16:00: [11.128499984741211, 22.730310440063477, 10.506075859069824, 14.467687606811523, 25.760000228881836, 13.189558029174805, 11.643818855285645, 20.469005584716797, 93.09346008300781, 6.5122551918029785]
11:14:34.501 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [682] 2011-09-15T16:00: [11.33899974822998, 23.376291275024414, 10.72481918334961, 14.75540542602539, 26.1200008392334, 13.44959545135498, 11.753287315368652, 20.847492218017578, 94.67989349365234, 6.608816623687744]
11:14:34.504 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [683] 2011-09-16T16:00: [11.96500015258789, 23.60239028930664, 10.69265079498291, 15.04996395111084, 25.520000457763672, 13.551726341247559, 11.978806495666504, 20.947912216186523, 96.29419708251953, 6.6826581954956055]
11:14:34.506 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [684] 2011-09-19T16:00: [12.084500312805176, 23.432809829711914, 10.6218843460083, 15.02255630493164, 25.270000457763672, 13.55147933959961, 12.311699867248535, 21.017425537109375, 96.3720932006836, 6.506573677062988]
11:14:34.509 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [685] 2011-09-20T16:00: [11.662500381469727, 22.89180564880371, 10.634746551513672, 15.207514762878418, 24.639999389648438, 13.55048656463623, 12.366137504577637, 20.83976936340332, 97.25719451904297, 6.381612777709961]
11:14:34.512 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [686] 2011-09-21T16:00: [11.593500137329102, 23.852703094482422, 10.19083023071289, 15.029413223266602, 24.889999389648438, 13.366305351257324, 12.32695484161377, 20.075084686279297, 96.31085205078125, 6.810459613800049]
11:14:34.522 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [687] 2011-09-22T16:00: [11.161499977111816, 22.883731842041016, 9.862715721130371, 14.81020736694336, 24.309999465942383, 12.90671443939209, 12.018290519714355, 19.356731414794922, 93.86166381835938, 6.475333213806152]
11:14:34.527 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [688] 2011-09-23T16:00: [11.180500030517578, 23.335918426513672, 10.042858123779297, 15.180112838745117, 24.8799991607666, 13.02694034576416, 12.0924654006958, 19.356731414794922, 94.262451171875, 6.339011192321777]
11:14:34.529 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [689] 2011-09-26T16:00: [11.492500305175781, 23.98996925354004, 10.287330627441406, 15.234917640686035, 25.1299991607666, 13.18509578704834, 12.058663368225098, 19.65025520324707, 97.1402816772461, 6.449772834777832]
11:14:34.531 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [690] 2011-09-27T16:00: [11.21049976348877, 24.3291015625, 10.338804244995117, 15.440423965454102, 25.559999465942383, 13.36977481842041, 11.941720962524414,
... excerpt shortened ...
999313354492, 15.283991813659668, 11.62976360321045, 20.809917449951172, 105.48930358886719, 8.0203275680542]
11:14:34.633 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [726] 2011-11-16T16:00: [10.599499702453613, 25.882644653320312, 12.143144607543945, 17.23624038696289, 28.540000915527344, 15.157814979553223, 11.508331298828125, 20.288503646850586, 104.29881286621094, 7.932284832000732]
11:14:34.635 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [727] 2011-11-17T16:00: [10.22599983215332, 24.936016082763672, 11.936450004577637, 16.82158088684082, 27.690000534057617, 14.895049095153809, 11.288193702697754, 19.87604331970215, 103.80146026611328, 7.7505202293396]
11:14:34.638 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [728] 2011-11-18T16:00: [9.857000350952148, 24.758012771606445, 11.897696495056152, 16.78702735900879, 27.18000030517578, 14.746562957763672, 11.214315414428711, 19.689260482788086, 103.527587890625, 7.949325084686279]
11:14:34.641 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [729] 2011-11-21T16:00: [9.462499618530273, 24.19974708557129, 11.626411437988281, 16.289432525634766, 26.6299991607666, 14.401002883911133, 11.036953926086426, 19.455795288085938, 101.42620849609375, 7.6284003257751465]
11:14:34.643 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [730] 2011-11-22T16:00: [9.616999626159668, 24.118844985961914, 11.574739456176758, 16.06136703491211, 26.329999923706055, 14.377701759338379, 11.261274337768555, 19.29237174987793, 101.33123016357422, 7.568758010864258]
11:14:34.646 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [731] 2011-11-23T16:00: [9.44950008392334, 23.46347427368164, 11.245325088500977, 15.6881685256958, 25.940000534057617, 14.132536888122559, 10.976532936096191, 19.043333053588867, 99.45332336425781, 7.3216705322265625]
11:14:34.649 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [732] 2011-11-25T16:00: [9.119999885559082, 23.253114700317383, 11.303458213806152, 15.708892822265625, 25.829999923706055, 13.95628547668457, 10.874241828918457, 18.91103172302246, 98.95591735839844, 7.210910320281982]
11:14:34.651 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [733] 2011-11-28T16:00: [9.707500457763672, 24.167377471923828, 11.632872581481934, 16.213401794433594, 26.6200008392334, 14.58072280883789, 11.249604225158691, 19.35462760925293, 101.83419036865234, 7.534677982330322]
11:14:34.654 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [734] 2011-11-29T16:00: [9.419500350952148, 24.062198638916016, 11.419719696044922, 16.296340942382812, 26.06999969482422, 14.450333595275879, 11.16227912902832, 19.331279754638672, 101.12442779541016, 7.639756679534912]
11:14:34.657 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [735] 2011-11-30T16:00: [9.614500045776367, 25.364835739135742, 12.039796829223633, 17.215511322021484, 27.420000076293945, 14.85836124420166, 11.43145751953125, 19.90717124938965, 105.07010650634766, 7.937966346740723]
11:14:34.659 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [736] 2011-12-01T16:00: [9.856499671936035, 25.623737335205078, 12.001046180725098, 17.22241973876953, 27.139999389648438, 15.21483039855957, 11.60284423828125, 19.673696517944336, 105.88050842285156, 8.014647483825684]
11:14:34.662 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [737] 2011-12-02T16:00: [9.80150032043457, 25.243465423583984, 11.981664657592773, 17.028913497924805, 27.110000610351562, 15.378190994262695, 11.655783653259277, 19.62700653076172, 105.99783325195312, 7.861285209655762]
11:14:34.665 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [738] 2011-12-05T16:00: [9.812000274658203, 25.809829711914062, 12.13668155670166, 17.284624099731445, 27.90999984741211, 15.50932502746582, 11.754783630371094, 20.00056266784668, 106.6573486328125, 7.9862470626831055]
11:14:34.667 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [739] 2011-12-06T16:00: [9.599499702453613, 25.672277450561523, 12.097931861877441, 17.519601821899414, 27.959999084472656, 15.462721824645996, 11.693171501159668, 19.969430923461914, 107.83102416992188, 8.003289222717285]
11:14:34.670 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [740] 2011-12-07T16:00: [9.765999794006348, 25.518556594848633, 12.265863418579102, 17.733844757080078, 27.860000610351562, 15.453299522399902, 11.63753604888916, 19.922740936279297, 108.45135498046875, 8.068607330322266]
11:14:34.673 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [741] 2011-12-08T16:00: [9.52400016784668, 24.87129020690918, 11.994583129882812, 17.077293395996094, 27.3799991607666, 15.27134895324707, 11.684497833251953, 19.767093658447266, 107.0708999633789, 7.855600833892822]
11:14:34.675 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [742] 2011-12-09T16:00: [9.65149974822998, 25.639930725097656, 12.19481086730957, 17.284624099731445, 28.040000915527344, 15.553200721740723, 11.773028373718262, 20.00056266784668, 108.73641967773438, 7.923766613006592]
11:14:34.678 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [743] 2011-12-12T16:00: [9.47599983215332, 25.340559005737305, 11.968746185302734, 16.58660316467285, 27.389999389648438, 15.50287914276123, 11.719789505004883, 19.85270118713379, 107.40625762939453, 7.798259735107422]
11:14:34.681 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [744] 2011-12-13T16:00: [9.025500297546387, 24.94410514831543, 11.929993629455566, 16.28251838684082, 26.989999771118164, 15.508828163146973, 11.629164695739746, 20.047260284423828, 106.83060455322266, 7.644239902496338]
11:14:34.683 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [745] 2011-12-14T16:00: [9.010499954223633, 24.167377471923828, 11.613493919372559, 16.1097412109375, 26.520000457763672, 15.321423530578613, 11.371339797973633, 19.914947509765625, 105.4725112915039, 7.524438381195068]
11:14:34.686 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [746] 2011-12-15T16:00: [9.062999725341797, 23.487749099731445, 11.652253150939941, 16.1097412109375, 26.459999084472656, 15.35786247253418, 11.333956718444824, 19.8915958404541, 104.77951049804688, 7.46168851852417]
11:14:34.689 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [747] 2011-12-16T16:00: [9.062999725341797, 23.633386611938477, 11.587658882141113, 16.054445266723633, 28.200000762939453, 15.517008781433105, 11.396171569824219, 20.234025955200195, 102.59426879882812, 7.370413303375244]
11:14:34.691 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [748] 2011-12-19T16:00: [8.966500282287598, 23.147937774658203, 11.426185607910156, 15.964608192443848, 27.510000228881836, 15.414630889892578, 11.431757926940918, 19.868263244628906, 102.21421813964844, 7.1678972244262695]
11:14:34.694 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [749] 2011-12-20T16:00: [9.12600040435791, 23.60102653503418, 11.891236305236816, 16.476030349731445, 28.440000534057617, 15.626330375671387, 11.842720031738281, 20.25737762451172, 104.64533996582031, 7.390377998352051]
11:14:34.697 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [750] 2011-12-21T16:00: [8.717499732971191, 20.850135803222656, 11.574739456176758, 16.36545181274414, 27.969999313354492, 15.51353931427002, 11.857671737670898, 20.047260284423828, 101.42058563232422, 7.256320953369141]
11:14:34.699 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [751] 2011-12-22T16:00: [8.951499938964844, 20.785415649414062, 11.710379600524902, 16.600419998168945, 27.889999389648438, 15.609720230102539, 11.920485496520996, 20.08616828918457, 101.73917388916016, 7.3761186599731445]
11:14:34.702 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [752] 2011-12-23T16:00: [8.86400032043457, 21.084768295288086, 11.929993629455566, 16.863048553466797, 28.290000915527344, 15.694994926452637, 12.063446998596191, 20.25737762451172, 103.25374603271484, 7.381822109222412]
11:14:34.705 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [753] 2011-12-27T16:00: [8.81350040435791, 20.736860275268555, 12.001046180725098, 16.973623275756836, 28.5, 15.871245384216309, 12.159163475036621, 20.265155792236328, 103.365478515625, 7.316218852996826]
11:14:34.707 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [754] 2011-12-28T16:00: [8.694499969482422, 20.639766693115234, 11.729758262634277, 16.745559692382812, 28.020000457763672, 15.857613563537598, 12.042817115783691, 20.093952178955078, 102.8290023803711, 7.187865257263184]
11:14:34.710 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [755] 2011-12-29T16:00: [8.692999839782715, 20.87440299987793, 11.787887573242188, 16.966711044311523, 28.309999465942383, 15.924545288085938, 12.116988182067871, 20.249591827392578, 104.052978515625, 7.307663440704346]
11:14:34.713 [test-correlation-1-thread-1] INFO t.n.a.d.m.i.Infantino2010PredictionAnalysisDemo - [756] 2011-12-30T16:00: [8.654999732971191, 20.753040313720703, 11.678085327148438, 16.75937843322754, 28.270000457763672, 16.01130485534668, 12.113398551940918, 20.202899932861328, 102.76751708984375, 7.347593784332275]
These are input prices printed by the demo, not fitted forecasts or strategy returns. Asset-column indices follow source ordering.
Derived from stdout.log using the precision available in that file. Download plotted data. Undefined or malformed cells are omitted, never replaced by zero.
These are input prices printed by the demo, not fitted forecasts or strategy returns. Asset-column indices follow source ordering.
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 Infantino2010PredictionAnalysisDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/log/pca-corr.csv.zip |
660 |
files/derived-charts/charts.json |
1111 |
files/derived-charts/derived-01.csv |
233382 |
files/derived-charts/derived-01.png |
263158 |
files/derived-charts/derived-02.csv |
156024 |
files/derived-charts/derived-02.png |
176521 |
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.