Class FactorAnalyzer

Namespace

Balsam.FactorAnalysis

Assembly

Balsam.Backtester.dll

Analyzes a series of trades, by binning trade outcomes based on a list of factors.

public static class FactorAnalyzer

Inheritance

object

FactorAnalyzer

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Methods

Analyze(PositionCollection, IEnumerable<Factor>, int)

Analyzes the specified positions and factors using RMultiple as the variable of interest.

public static FactorResults Analyze(PositionCollection positions, IEnumerable<Factor> factors, int bins)

Parameters

positions PositionCollection

factors IEnumerable<Factor>

bins int

Returns

FactorResults

Analyze(IEnumerable<Position>, IEnumerable<Factor>, int, Func<Position, double>)

Analyzes the specified positions and factors using a custom objective function.

public static FactorResults Analyze(IEnumerable<Position> positions, IEnumerable<Factor> factors, int bins, Func<Position, double> stat)

Parameters

positions IEnumerable<Position>

factors IEnumerable<Factor>

bins int

stat Func<Position, double>

Returns

FactorResults