Model MeanReversionPortfolioDemo

MeanReversionPortfolioDemo — execution tutorial

All model results · Pinned source · Javadoc

What this example teaches

Demonstrates how to create a MeanReversionPortfolio with different grid sizes.

Using this example. Combines mean-reversion components with different grid sizes on local GainCapital data. Follow each basket and scale into the combined portfolio; adding components changes total exposure and does not automatically normalize the allocation.

Model and publication. No single original research publication is claimed for this library/example policy.

Implementation in this tutorial. This composition combines components with different grid sizes. Read their individual scales before comparing the aggregate P/L with a single component. These are library-specific spread/grid trading policies. A basket converts product prices into a spread; the configured mean-reversion model maps its level or deviation into a desired state, and MeanReversionStrategy translates that state into product orders. Grid distance, periodic/ranged update behavior and scale are distinct controls. The folder name does not mean that option implied volatility is being traded. Mean reversion is an assumption to check, not a property guaranteed by this policy.

Verified execution record

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	2.99
Time limit seconds	180
Maximum Java heap	1200m

The original main returned successfully. Read the output and model assumptions before interpreting it.

Reproduce the calculation

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.volarb.MeanReversionPortfolioDemo

The 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.

Observed output

09:07:07,242 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:07,242 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:07,243 |-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]
09:07:07,275 |-INFO in ch.qos.logback.core.joran.spi.ConfigurationWatchList@2eee9593 - 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
09:07:07,340 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
09:07:07,341 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.ConsoleAppender]
09:07:07,352 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [STDOUT]
09:07:07,362 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:07,431 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:07,433 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.07" to the LOCAL scope
09:07:07,434 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
09:07:07,440 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [FILE1]
09:07:07,460 |-INFO in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7907ec20 - Will use zip compression
09:07:07,461 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7907ec20 - Large window sizes are not allowed.
09:07:07,461 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7907ec20 - MaxIndex reduced to 21
09:07:07,466 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:07,468 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.07.log
09:07:07,468 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - File property is set to [log/algoquant.2026.10.18,09.07.07.log]
09:07:07,469 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:07,469 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
09:07:07,470 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [FILE1] to Logger[ROOT]
09:07:07,470 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:07,471 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@546a03af - Registering current configuration as safe fallback point

09:07:09.518 [main] INFO  t.n.a.d.m.v.MeanReversionPortfolioDemo,150 - executions: 
#	Time	Side	Symbol	Quantity	Price
1	2010-08-02T02:43:30	SELL	NZD/CHF	1.0	0.7603
2	2010-08-02T03:21:46	SELL	NZD/CHF	1.0	0.7628
3	2010-08-02T03:21:46	SELL	NZD/CHF	2.0	0.7628
4	2010-08-02T03:38:30	SELL	NZD/CHF	1.0	0.7653
5	2010-08-02T03:56:06	SELL	NZD/CHF	2.0	0.7678
6	2010-08-02T03:56:06	SELL	NZD/CHF	1.0	0.7678
7	2010-08-02T05:21:38	BUY	NZD/CHF	1.0	0.7657
8	2010-08-02T09:13:54	BUY	NZD/CHF	2.0	0.7633
9	2010-08-02T09:13:54	BUY	NZD/CHF	1.0	0.7633
10	2010-08-02T10:48:49	BUY	NZD/CHF	1.0	0.7607
09:07:09.522 [main] INFO  t.n.a.d.m.v.MeanReversionPortfolioDemo,152 - Performance Report:
Product	Execution Count	Profit Loss	Information Ratio For Trades	Omega For Trades
NZD/CHF	10.0	0.022220000042580068	-0.022375793092938384	-0.056602527547561135
Total	10.0	0.022220000042580068	-0.022375793092938384	-0.056602527547561135

Downloadable evidence

Download MeanReversionPortfolioDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.

Export	Bytes
files/charts/chart-01.png	89177

Interpreting the result

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.