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Model PerformanceOptimizedYahooEODPortfolioDemo
github-actions[bot] edited this page Oct 18, 2026
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Using this example. Weights several performance objectives in a PerformanceOptimizedYahooEODPortfolio template and runs the resulting strategy on Yahoo data. The coefficients normalize objectives with different units; their values are not portfolio allocation weights. Optimization and evaluation on shared history can overstate expected performance.
Model and publication. Related theory and the scope of this example are distinguished below.
Implementation in this tutorial. This is an application-level search over weighted performance objectives, not a named single- publication model. The template combines information ratio, profit and drawdown with normalization coefficients. Those objective coefficients are not asset allocation weights, and optimizing a backtest statistic can overfit its sample.
| 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 | 6.57 |
| 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.portfoliooptimization.PerformanceOptimizedYahooEODPortfolioDemoThe 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.
09:07:52,644 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
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09:07:52,645 |-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]
09:07:52,670 |-INFO in ch.qos.logback.core.joran.spi.ConfigurationWatchList@33a10788 - 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
09:07:52,711 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
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09:07:52,727 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:52,769 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:52,770 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.52" to the LOCAL scope
09:07:52,771 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
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09:07:52,785 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.52.log
09:07:52,785 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - File property is set to [log/algoquant.2026.10.18,09.07.52.log]
09:07:52,785 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:52,785 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
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09:07:52,786 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:52,787 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@34033bd0 - Registering current configuration as safe fallback point
09:07:52.879 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:07:52.882 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:07:52.883 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PerformanceOptimizedYahooEODPortfolioDemo/work/config/config.default.xml
09:07:53.024 [main] INFO t.n.algoquant.util.config.AQConfig,148 - 09:07:52,644 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:52,644 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:52,645 |-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]
09:07:52,670 |-INFO in ch.qos.logback.core.joran.spi.ConfigurationWatchList@33a10788 - 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
09:07:52,711 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
09:07:52,712 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.ConsoleAppender]
09:07:52,720 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [STDOUT]
09:07:52,727 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:52,769 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:52,770 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.52" to the LOCAL scope
09:07:52,771 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
09:07:52,774 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [FILE1]
09:07:52,780 |-INFO in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7006c658 - Will use zip compression
09:07:52,781 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7006c658 - Large window sizes are not allowed.
09:07:52,781 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@7006c658 - MaxIndex reduced to 21
09:07:52,784 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:52,785 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.52.log
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09:07:52,785 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:52,785 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
09:07:52,786 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [FILE1] to Logger[ROOT]
09:07:52,786 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:52,787 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@34033bd0 - Registering current configuration as safe fallback point
09:07:53.024 [main] INFO t.n.algoquant.util.config.AQConfig,95 - current directory: /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PerformanceOptimizedYahooEODPortfolioDemo/work
09:07:53.024 [main] INFO t.n.algoquant.util.config.AQConfig,169 - current config:
09:07:53.034 [main] INFO t.n.algoquant.util.config.AQConfig,11 - nm.license: /home/runner/work/algoquant-examples/algoquant-examples/license/nm.lic
09:07:53.037 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_FOLDER: ./test-data
09:07:53.037 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_GAINCAPITAL: ${DATA_FOLDER}/processed/gaincapital/extracted-from-raw-arrange-by-dates
09:07:53.037 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_BLOOMBERG: ${DATA_FOLDER}/processed/bloomberg
09:07:53.037 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_YAHOO: ${DATA_FOLDER}/yahoo
09:07:53.038 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_SGX: ${DATA_FOLDER}/raw/sgx
09:07:53.038 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_HOLIDAYS: ./log/holidays
09:07:53.038 [main] INFO t.n.algoquant.util.config.AQConfig,11 - DATA_COMPUSTAT_HK: ${DATA_FOLDER}/[database configuration redacted]/hk
09:07:53.038 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_OUTPUT_FOLDER: ./log/
09:07:53.039 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_WIDTH: 800
09:07:53.039 [main] INFO t.n.algoquant.util.config.AQConfig,11 - PDF_PLOT_HEIGHT: 600
09:07:53.657 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:07:53.657 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for 0019.HK from the Internet from 2008-01-01T00:00 to 2015-01-01T16:00
09:07:53.798 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/0019.HK.csv.zip
09:07:53.831 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/0019.HK.csv.zip
09:07:53.835 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:07:53.835 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for 0483.HK from the Internet from 2008-01-01T00:00 to 2015-01-01T16:00
09:07:53.994 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/0483.HK.csv.zip
09:07:54.022 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/0483.HK.csv.zip
09:07:54.023 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:07:54.023 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for 0321.HK from the Internet from 2008-01-01T00:00 to 2015-01-01T16:00
09:07:54.130 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/0321.HK.csv.zip
09:07:54.155 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/0321.HK.csv.zip
09:07:54.156 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,237 - failed to load from file, reason: no data read from file; load from web
09:07:54.156 [main] INFO t.n.a.d.h.yahoo.YahooEODCacheFactory,196 - reading Yahoo! data for 0005.HK from the Internet from 2008-01-01T00:00 to 2015-01-01T16:00
09:07:54.287 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,30 - writing csv.zip file ./log/Yahoo/0005.HK.csv.zip
09:07:54.304 [main] INFO t.n.a.d.h.y.YahooEODCsvZipFileWriter,81 - finished writing ./log/Yahoo/0005.HK.csv.zip
09:07:58.576 [main] INFO t.n.a.d.m.p.PerformanceOptimizedYahooEODPortfolioDemo,130 - weights = {0019.HK @ HKEX=0.0, 0483.HK @ HKEX=0.9999999999999999, 0321.HK @ HKEX=0.0, 0005.HK @ HKEX=0.0}
09:07:58.742 [main] INFO t.n.a.d.m.p.PerformanceOptimizedYahooEODPortfolioDemo,135 - f(x) = 1.7734614084762281
09:07:58.830 [main] INFO t.n.a.d.m.p.PerformanceOptimizedYahooEODPortfolioDemo,153 - Performance Report:
Product Max Drawdown Information Ratio For Periods Profit Loss
0005.HK 0.0 NaN 0.0
0019.HK 0.0 NaN 0.0
0321.HK 0.0 NaN 0.0
0483.HK 194.42152266774792 0.21516926650865864 139.2896534234751
Total 194.42152266774792 0.18291739675499855 139.2896534234751
Download PerformanceOptimizedYahooEODPortfolioDemo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
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.