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Model PortfolioOptimComparisons2Demo
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Compares the different asset allocation algorithms. Prices are from historical data.
Using this example. Compares allocation algorithms on historical price data. Some branches reference local China datasets and an absolute Windows Compustat path; choose the intended branch and configure those inputs before running. Consistent asset ordering and common estimation periods are essential to the comparison.
Model and publication. Related theory and the scope of this example are distinguished below.
Implementation in this tutorial. Compares allocation methods on selected historical/local data. A common estimation window and asset ordering are required for a fair comparison. Several alternative dataset branches are embedded in main; results depend on the branch and its data coverage.
| 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 | 7.55 |
| 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.PortfolioOptimComparisons2DemoThe 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.
09:07:01,640 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:01,641 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
09:07:01,641 |-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]
09:07:01,715 |-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
09:07:01,813 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - debug attribute not set
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09:07:01,925 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Using current interpretation time, i.e. now, as time reference.
09:07:01,927 |-INFO in ch.qos.logback.core.joran.action.TimestampAction - Adding property to the context with key="bySecond" and value="2026.10.18,09.07.01" to the LOCAL scope
09:07:01,928 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - About to instantiate appender of type [ch.qos.logback.core.rolling.RollingFileAppender]
09:07:01,933 |-INFO in ch.qos.logback.core.joran.action.AppenderAction - Naming appender as [FILE1]
09:07:01,945 |-INFO in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - Will use zip compression
09:07:01,945 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - Large window sizes are not allowed.
09:07:01,945 |-WARN in ch.qos.logback.core.rolling.FixedWindowRollingPolicy@2aafb23c - MaxIndex reduced to 21
09:07:01,950 |-INFO in ch.qos.logback.core.joran.action.NestedComplexPropertyIA - Assuming default type [ch.qos.logback.classic.encoder.PatternLayoutEncoder] for [encoder] property
09:07:01,951 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - Active log file name: log/algoquant.2026.10.18,09.07.01.log
09:07:01,951 |-INFO in ch.qos.logback.core.rolling.RollingFileAppender[FILE1] - File property is set to [log/algoquant.2026.10.18,09.07.01.log]
09:07:01,953 |-INFO in ch.qos.logback.classic.joran.action.RootLoggerAction - Setting level of ROOT logger to DEBUG
09:07:01,953 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [STDOUT] to Logger[ROOT]
09:07:01,953 |-INFO in ch.qos.logback.core.joran.action.AppenderRefAction - Attaching appender named [FILE1] to Logger[ROOT]
09:07:01,953 |-INFO in ch.qos.logback.classic.joran.action.ConfigurationAction - End of configuration.
09:07:01,954 |-INFO in ch.qos.logback.classic.joran.JoranConfigurator@2b80d80f - Registering current configuration as safe fallback point
09:07:02.225 [main] INFO t.n.a.m.p.s.OptimizationAlgorithmComparisonSimulation,12 - Running algorithm 'equal' (window=P6M, rebalance=P6M)...
09:07:02.288 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config.default.xml
09:07:02.289 [main] INFO t.n.algoquant.util.config.AQConfig,194 - looking up configuration file: config/config.default.xml
09:07:02.289 [main] INFO t.n.algoquant.util.config.AQConfig,209 - loading config file: file:/home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/config/config.default.xml
09:07:02.469 [main] INFO t.n.algoquant.util.config.AQConfig,148 - 09:07:01,640 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback-test.xml]
09:07:01,641 |-INFO in ch.qos.logback.classic.LoggerContext[default] - Could NOT find resource [logback.groovy]
... excerpt shortened; complete stdout is in the release archive ...
at tech.nmfin.portfoliooptimization.lai2010.Lai2010NPEBModel.optimalWeights(gj:13)
at tech.nmfin.portfoliooptimization.Lai2010OptimizationAlgorithm.getOptimalWeights(ri:51)
at tech.nmfin.algoquant.model.portfoliooptimization.corvalan2005.Corvalan2005Diversifier.getOptimalWeights(yb:58)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical.getPositions(r:19)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.s(z:196)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.onEvent(z:11)
at tech.nmfin.algoquant.execution.component.simulator.message.handler.ChannelMessageHandlerFactories$1$1.handle(hmb:200)
at tech.nmfin.algoquant.execution.component.simulator.message.dispatcher.SimpleChannelMessageDispatcher.dispatch(pfb:187)
at tech.nmfin.algoquant.execution.component.simulator.StrategyComponent.dispatch(ybb:150)
at dev.nm.nmutils.circuit.controller.SingleThreadedController.run(uwb:137)
at tech.nmfin.algoquant.execution.component.simulator.SimpleSimulator.run(ujb:132)
at tech.nmfin.algoquant.execution.simulation.template.SimTemplateUtils.run(kq:48)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.PortfolioOptimizationSimulation.run(ym:767)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.s(ne:437)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.s(ne:163)
at java.util.LinkedHashMap$LinkedEntrySet.forEach(LinkedHashMap.java:671)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.run(ne:193)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.lambda$run$1(PortfolioOptimComparisons2Demo.java:230)
at java.lang.Iterable.forEach(Iterable.java:75)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.run(PortfolioOptimComparisons2Demo.java:135)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.demo_csv_0000(PortfolioOptimComparisons2Demo.java:276)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.demo_csv_0010(PortfolioOptimComparisons2Demo.java:286)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.main(PortfolioOptimComparisons2Demo.java:436)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:498)
at ModelDemoRunner.main(ModelDemoRunner.java:35)
09:07:06.892 [main] INFO t.n.a.m.s.r.RebalancePortfolio,173 - Calculating weights for rebalancing point at 2018-07-29T00:00
09:07:06.893 [main] WARN t.n.a.m.s.r.RebalancePortfolio,194 - failed to compute new positions: lag (1) must be < length of the time series (1)
java.lang.IllegalArgumentException: lag (1) must be < length of the time series (1)
at dev.nm.misc.ArgumentAssertion.assertTrue(meb:430)
at dev.nm.stat.timeseries.linear.univariate.sample.SampleAutoCovariance.evaluate(dz:50)
at dev.nm.stat.timeseries.linear.univariate.sample.SampleAutoCorrelation.evaluate(er:63)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009$1.forLagOrder(ss:43)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009ForObject.getOptimalLag(xd:437)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009ForObject.getOptimalBlockLength(xd:305)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009ForObject.<init>(xd:190)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009ForObject.<init>(xd:204)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009.<init>(ss:212)
at dev.nm.stat.random.sampler.resampler.bootstrap.block.PattonPolitisWhite2009.<init>(ss:228)
at dev.nm.stat.random.sampler.resampler.multivariate.GroupResampler.<init>(qp:27)
at tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.resampler.GroupResamplerFactory$1.<init>(zf:168)
at tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.resampler.GroupResamplerFactory.newResampler(zf:185)
at tech.nmfin.portfoliooptimization.lai2010.ceta.npeb.NPEBPortfolioMomentsEstimator.<init>(vj:12)
at tech.nmfin.portfoliooptimization.lai2010.Lai2010NPEBModel.optimalWeights(gj:13)
at tech.nmfin.portfoliooptimization.Lai2010OptimizationAlgorithm.getOptimalWeights(ri:51)
at tech.nmfin.algoquant.model.portfoliooptimization.corvalan2005.Corvalan2005Diversifier.getOptimalWeights(yb:58)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolioTechnical.getPositions(r:19)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.s(z:196)
at tech.nmfin.algoquant.model.strategy.rebalance.RebalancePortfolio.onEvent(z:11)
at tech.nmfin.algoquant.execution.component.simulator.message.handler.ChannelMessageHandlerFactories$1$1.handle(hmb:200)
at tech.nmfin.algoquant.execution.component.simulator.message.dispatcher.SimpleChannelMessageDispatcher.dispatch(pfb:187)
at tech.nmfin.algoquant.execution.component.simulator.StrategyComponent.dispatch(ybb:150)
at dev.nm.nmutils.circuit.controller.SingleThreadedController.run(uwb:137)
at tech.nmfin.algoquant.execution.component.simulator.SimpleSimulator.run(ujb:132)
at tech.nmfin.algoquant.execution.simulation.template.SimTemplateUtils.run(kq:48)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.PortfolioOptimizationSimulation.run(ym:767)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.s(ne:437)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.s(ne:163)
at java.util.LinkedHashMap$LinkedEntrySet.forEach(LinkedHashMap.java:671)
at tech.nmfin.algoquant.model.portfoliooptimization.simulation.OptimizationAlgorithmComparisonSimulation.run(ne:193)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.lambda$run$1(PortfolioOptimComparisons2Demo.java:230)
at java.lang.Iterable.forEach(Iterable.java:75)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.run(PortfolioOptimComparisons2Demo.java:135)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.demo_csv_0000(PortfolioOptimComparisons2Demo.java:276)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.demo_csv_0010(PortfolioOptimComparisons2Demo.java:286)
at tech.nmfin.algoquant.demo.model.portfoliooptimization.PortfolioOptimComparisons2Demo.main(PortfolioOptimComparisons2Demo.java:436)
at sun.reflect.NativeMethodAccessorImpl.invoke0(Native Method)
at sun.reflect.NativeMethodAccessorImpl.invoke(NativeMethodAccessorImpl.java:62)
at sun.reflect.DelegatingMethodAccessorImpl.invoke(DelegatingMethodAccessorImpl.java:43)
at java.lang.reflect.Method.invoke(Method.java:498)
at ModelDemoRunner.main(ModelDemoRunner.java:35)
09:07:06.978 [main] INFO t.n.a.m.p.s.OptimizationAlgorithmComparisonSimulation,179 - Finished algorithm 'lai2010-corvalan' (window=P6M, rebalance=P6M)
09:07:08.129 [main] INFO t.n.a.e.r.SimulationResultsExporter,766 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.measures.csv...
09:07:08.162 [main] INFO t.n.a.e.r.SimulationResultsExporter,766 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.executions.csv...
09:07:08.168 [main] INFO t.n.a.e.r.SimulationResultsExporter,766 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.trades.csv...
09:07:08.181 [main] INFO t.n.a.e.r.ValueHistoriesExporter,64 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.computed.weights.csv...
09:07:08.188 [main] INFO t.n.a.e.r.ValueHistoriesExporter,64 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.actual.weights.csv...
09:07:08.194 [main] INFO t.n.a.e.r.ValueHistoriesExporter,64 - Saving to /home/runner/work/algoquant-examples/algoquant-examples/target/model-results/PortfolioOptimComparisons2Demo/work/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.profit.csv...
Download PortfolioOptimComparisons2Demo.zip contains stdout, stderr, the execution record, checksums and any exported CSV/chart files.
| Export | Bytes |
|---|---|
files/charts/chart-01.png |
74498 |
files/charts/chart-02.png |
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files/log/20261018090702/Portfolio Optimization Algorithms (P6M,P6M,10000.00,0.50) monthly returns.png |
88753 |
files/log/20261018090702/Portfolio Optimization Algorithms (P6M,P6M,10000.00,0.50).png |
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files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.actual.weights.csv |
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files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.computed.weights.csv |
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files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.executions.csv |
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files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.measures.csv |
38958 |
files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.profit.csv |
65723 |
files/log/PortfolioOptimComparisons2Demo.2026.10.18,09.07.08.trades.csv |
5724 |
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.