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Model MeanReversionBasedOnSpreadQuantileDemo
github-actions[bot] edited this page Oct 18, 2026
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Runs a Elliott mean reversion strategy, coded up using a template.
Using this example. Chooses MeanReversionBasedOnSpreadQuantile as the customization of an Elliott2005Strategy inside a Yahoo simulation template. Quantile thresholds apply to the modeled spread, not each individual stock price. The report and chart reflect the template settings.
Model and publication. This is an Elliott-style spread strategy with a quantile-based customization. Quantile entry and exit rules are application choices, not a claim to reproduce the publication’s full estimator.
Implementation in this tutorial. MeanReversionBasedOnSpreadQuantile chooses thresholds from the configured spread distribution and is passed into Elliott2005Strategy by a Yahoo template. Coefficients define the traded spread; calibration controls the distribution used for thresholds. Re-estimation and execution assumptions determine the resulting backtest.
| Item | Value |
|---|---|
| Status | completed |
| Run | 39114006111 |
| UTC publication | 2026-10-18 09:11 UTC |
| Source commit | 0097e73c040bdaaddac570e2fe694d9836b676ee |
| Data mode | original main defaults |
| Exit code | 0 |
| Elapsed seconds | 21.56 |
| 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.MeanReversionBasedOnSpreadQuantileDemoThe 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.
09:07:03,275 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:03,276 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:03,276 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Found resource [logback.xml] at [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml]
09:07:03,307 |-INFO in ch.qos.logback.core.joran.spi.ConfigurationWatchList@34340fab - URL [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml] is not of type file
09:07:04,123 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
09:07:04,124 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.ConsoleAppender]
09:07:04,135 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [STDOUT]
09:07:04,142 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:04,184 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:04,185 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.04" to the LOCAL scope
09:07:04,185 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
09:07:04,188 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [FILE1]
09:07:04,199 |-INFO in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - Will use zip compression
09:07:04,199 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - Large window sizes are not allowed.
09:07:04,199 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - MaxIndex reduced to 21
09:07:04,203 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:04,204 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.04.log
09:07:04,204 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - File property is set to [log/algoquant.2026.10.18,09.07.04.log]
09:07:04,205 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:04,205 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
09:07:04,205 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [FILE1] to Logger[ROOT]
09:07:04,205 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:04,205 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@2b80d80f - Registering current configuration as safe fallback point
09:07:09.221 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:07:09.224 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:07:09.224 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/MeanReversionBasedOnSpreadQuantileDemo/work/config/config.default.xml
09:07:09.433 [main] INFO t.n.algoquant.util.config.AQConfig,148 - 09:07:03,275 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:03,276 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:03,276 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Found resource [logback.xml] at [jar:file:/home/runner/work/algoquant-examples/algoquant-examples/target/lib/algoquant-dist-3.3.0-SNAPSHOT.jar!/logback.xml]
... excerpt shortened; complete stdout is in the release archive ...
09:07:16.654 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-07-02T16:00: beta = [1.000000, -0.448259] , mu = 27.257893905240085, xt = 26.032949741749942, zt = 26.455605014381945
09:07:16.655 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-07-03T16:00: beta = [1.000000, -0.460357] , mu = 26.388736646626796, xt = 25.463436442924646, zt = 25.868159800813906
09:07:16.660 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-07-07T16:00: beta = [1.000000, -0.473060] , mu = 25.47003793322977, xt = 24.74922322145876, zt = 25.114071517383643
09:07:16.702 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-04T16:00: beta = [1.000000, -0.230287] , mu = 43.63966005471094, xt = 42.335640615490924, zt = 42.78994948979074
09:07:16.707 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-05T16:00: beta = [1.000000, -0.265338] , mu = 40.954884997213256, xt = 39.00030820375053, zt = 39.455983421028165
09:07:16.709 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-06T16:00: beta = [1.000000, -0.288025] , mu = 39.24968851409593, xt = 37.546371056840826, zt = 38.1044089328356
09:07:16.721 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-07T16:00: beta = [1.000000, -0.149459] , mu = 49.66007666892713, xt = 47.673432352304104, zt = 48.06784676443486
09:07:16.724 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-08T16:00: beta = [1.000000, -0.147738] , mu = 49.883588001437325, xt = 48.17459183063194, zt = 48.888573271804056
09:07:16.727 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-11T16:00: beta = [1.000000, -0.149571] , mu = 49.71802068688871, xt = 47.99603707004836, zt = 48.567949405867544
09:07:16.730 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-12T16:00: beta = [1.000000, -0.137744] , mu = 50.619710007247775, xt = 48.72180879455232, zt = 49.37343589619013
09:07:16.739 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-13T16:00: beta = [1.000000, -0.197507] , mu = 46.11762000372084, xt = 44.39189235714558, zt = 45.150499726802394
09:07:16.743 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-14T16:00: beta = [1.000000, -0.226156] , mu = 43.96697133468787, xt = 42.24690032702272, zt = 43.05777926453985
09:07:16.748 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-15T16:00: beta = [1.000000, -0.190588] , mu = 46.65569286820627, xt = 45.03627674842615, zt = 45.6889087498827
09:07:16.750 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-18T16:00: beta = [1.000000, -0.201570] , mu = 45.820912293442234, xt = 44.32835361616391, zt = 45.129776133588635
09:07:16.754 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-20T16:00: beta = [1.000000, -0.144816] , mu = 50.08642907225125, xt = 48.68904042987687, zt = 49.44436546265582
09:07:16.769 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-08-29T16:00: beta = [1.000000, 0.192108] , mu = 75.79966137681524, xt = 74.72067927897994, zt = 75.34596880386262
09:07:16.773 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-09-02T16:00: beta = [1.000000, 0.261569] , mu = 81.0811842561594, xt = 79.06375967736685, zt = 79.86176203840046
09:07:16.779 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-09-03T16:00: beta = [1.000000, 0.196609] , mu = 76.14736709491278, xt = 74.3032286257776, zt = 75.29582527764794
09:07:16.789 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-09-04T16:00: beta = [1.000000, 0.205360] , mu = 76.7673889913621, xt = 74.45550016436205, zt = 75.38209286786048
09:07:16.790 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-09-05T16:00: beta = [1.000000, 0.128691] , mu = 70.93386299030476, xt = 69.0108923903937, zt = 70.13111511850958
09:07:16.825 [main] INFO t.n.a.m.m.e.s.Elliott2005Strategy,26 - recalibration of strategy @ 2014-09-30T16:00: beta = [1.000000, -0.458945] , mu = 24.52457661937424, xt = 23.892396663637847, zt = 24.193388926081134
09:07:16.905 [main] INFO t.n.a.d.m.e.MeanReversionBasedOnSpreadQuantileDemo,179 - Executions:
# Time Side Symbol Quantity Price
1 2012-05-29T16:00 BUY XOM 1.0 46.8350715637207
2 2012-06-19T16:00 SELL XOM 1.0 48.29275894165039
3 2012-06-20T16:00 SELL XOM 1.0 48.5728759765625
4 2012-06-21T16:00 BUY XOM 1.0 46.937957763671875
5 2012-07-10T16:00 BUY XOM 1.0 47.50959777832031
6 2012-07-11T16:00 SELL XOM 1.0 48.2355842590332
7 2012-08-02T16:00 BUY XOM 1.0 49.09306335449219
8 2012-08-03T16:00 SELL XOM 1.0 50.047725677490234
9 2012-10-03T16:00 SELL XOM 1.0 52.76072311401367
10 2012-11-09T16:00 BUY XOM 1.0 50.49148941040039
11 2012-11-23T16:00 SELL XOM 1.0 51.5799674987793
12 2012-11-27T16:00 BUY XOM 1.0 50.572547912597656
13 2012-12-24T16:00 BUY XOM 1.0 50.323604583740234
14 2013-01-02T16:00 SELL XOM 1.0 51.359947204589844
15 2013-02-01T16:00 BUY XOM 1.0 52.12997055053711
16 2013-02-19T16:00 SELL XOM 1.0 52.04349899291992
17 2013-02-25T16:00 BUY XOM 1.0 51.099571228027344
18 2013-02-27T16:00 SELL XOM 1.0 52.165855407714844
19 2013-03-07T16:00 BUY XOM 1.0 51.68804931640625
20 2013-03-11T16:00 SELL XOM 1.0 51.950279235839844
21 2013-03-19T16:00 BUY XOM 1.0 51.6123161315918
22 2013-03-22T16:00 SELL XOM 1.0 52.025997161865234
23 2013-04-01T16:00 SELL XOM 1.0 52.88835144042969
24 2013-04-05T16:00 BUY XOM 1.0 51.86286544799805
25 2013-04-08T16:00 BUY XOM 1.0 51.62397766113281
26 2013-04-11T16:00 SELL XOM 1.0 51.98522186279297
27 2013-04-17T16:00 BUY XOM 1.0 50.155670166015625
28 2013-04-23T16:00 SELL XOM 1.0 52.031829833984375
29 2013-04-25T16:00 BUY XOM 1.0 51.31515884399414
30 2013-05-03T16:00 SELL XOM 1.0 52.45137023925781
31 2013-05-07T16:00 SELL XOM 1.0 53.109779357910156
32 2013-05-30T16:00 BUY XOM 1.0 54.0286750793457
33 2013-06-07T16:00 SELL XOM 1.0 53.65317153930664
34 2013-06-11T16:00 BUY XOM 1.0 53.072349548339844
35 2013-06-13T16:00 SELL XOM 1.0 53.58279037475586
36 2013-06-20T16:00 BUY XOM 1.0 52.24512481689453
37 2013-06-27T16:00 SELL XOM 1.0 52.8259391784668
38 2013-07-16T16:00 BUY XOM 1.0 54.73855972290039
39 2013-08-14T16:00 BUY XOM 1.0 52.5471305847168
40 2013-11-06T16:00 BUY CVX 1.0 70.3741455078125
41 2013-11-06T16:00 SELL XOM 2.0 55.069644927978516
42 2013-11-21T16:00 SELL CVX 1.0 72.32414245605469
43 2013-11-21T16:00 BUY XOM 1.0 56.31865692138672
44 2014-05-12T16:00 SELL XOM 1.0 61.649593353271484
45 2014-05-13T16:00 BUY XOM 1.0 61.727989196777344
46 2014-05-29T16:00 SELL XOM 1.0 61.070655822753906
47 2014-05-30T16:00 BUY XOM 1.0 60.62440872192383
48 2014-06-12T16:00 BUY XOM 1.0 61.30583953857422
49 2014-07-03T16:00 SELL XOM 1.0 61.86668014526367
50 2014-08-05T16:00 BUY XOM 1.0 59.219303131103516
51 2014-08-29T16:00 SELL XOM 1.0 60.39697265625
52 2014-09-30T16:00 BUY XOM 1.0 57.11176681518555
09:07:16.909 [main] INFO t.n.a.d.m.e.MeanReversionBasedOnSpreadQuantileDemo,185 - Performance Report:
Product Profit Loss Information Ratio For Zero Investment Omega For Periods Execution Count
CVX 1.9499969482421875 0.7071067811865476 Infinity 2.0
XOM 16.885269165039062 64.54236267042542 Infinity 50.0
Total 19.557907104492188 6.931995093846225 Infinity 52.0
Download MeanReversionBasedOnSpreadQuantileDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/charts/chart-01.png |
141120 |
files/log/SP500-constituents.csv |
21718 |
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.