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AlgoQuant 3.0.0 is now released

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    haksunli
    Keymaster

    We have released an updated snapshot of AlgoQuant, an integrated quantitative trading strategy research and back testing system: https://nmfin.tech/knowledge-base/introduction/

    algoquant-3.0.0.zip can be downloaded here: https://nmfin.tech/products/algoquant/

    The Javadoc is here: https://nmfin.tech/html/javadoc/algoquant/

    This release has major changes, improvements and bug fixes. The highlights are as the following.

    Project Structure:

    • Renamed root package to tech.nmfin (from com.numericalmethod)

    Improvements:

    • Updated simulation/template to allow customized transaction fee scheme
    • Introduced KeyedMeasure to allow customized naming for performance measures
    • Significantly improved both the performance and simulation output of `PortfolioOptimizationSimulation
    • Significantly improved the performance of Markowitz optimization by using Critical Line Method
    • Added new PerformanceMeasure classes: SumReturn, CumulativeReturn, StartBalance, EndBalance, AveragePeriodReturn, AverageReturnMonthly, PeriodReturnsStats, StdevPeriodReturns, StdevPeriodReturnsAnnual, StdevPeriodReturnsMonthly, BestPeriodReturn, WorstPeriodReturn, PeriodReturnsNegative, PeriodReturnsPositive, TreynorRatio, SortionRatio, RSquaredCAPM, SharpeRatioMonthlyAnnualized, etc.

    New Features:

    • Added tech.nmfin.algoquant.execution.performance.report.exporter package for exporting simulation results to CSV files
    • Added tech.nmfin.algoquant.data.historicaldata.quandl package for accessing data from Quandl
    • Added tech.nmfin.algoquant.execution.performance.drawdown package for drawdown analysis
    • Added python module to generate algoquant.py so that Python scripts can invoke AlgoQuant functions

    Some bugfixes

    The source code can be browsed here:
    http://redmine.numericalmethod.com/projects/public/repository/svn-algoquant

    AlgoQuant demos are here:
    http://redmine.numericalmethod.com/projects/public/repository/svn-algoquant/show/demo/src/main/java/tech/nmfin/algoquant/demo

     

    • This topic was modified 2 months ago by haksunli.
    • This topic was modified 2 months ago by haksunli.
    • This topic was modified 2 months ago by haksunli.
    • This topic was modified 2 months ago by haksunli.
    • This topic was modified 1 month, 4 weeks ago by haksunli.
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