1 | #region License Information
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2 | /* HeuristicLab
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3 | * Copyright (C) 2002-2013 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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4 | *
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5 | * This file is part of HeuristicLab.
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6 | *
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7 | * HeuristicLab is free software: you can redistribute it and/or modify
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8 | * it under the terms of the GNU General Public License as published by
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9 | * the Free Software Foundation, either version 3 of the License, or
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10 | * (at your option) any later version.
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11 | *
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12 | * HeuristicLab is distributed in the hope that it will be useful,
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13 | * but WITHOUT ANY WARRANTY; without even the implied warranty of
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14 | * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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15 | * GNU General Public License for more details.
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16 | *
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17 | * You should have received a copy of the GNU General Public License
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18 | * along with HeuristicLab. If not, see <http://www.gnu.org/licenses/>.
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19 | */
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20 | #endregion
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21 |
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22 | using System;
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23 | using System.Collections.Generic;
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24 | using HeuristicLab.Common;
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25 |
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26 | namespace HeuristicLab.Problems.DataAnalysis.Trading {
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27 | public class OnlineSharpeRatioCalculator : IOnlineCalculator {
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28 |
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29 | private int p;
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30 | private double transactionCost;
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31 | private int c;
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32 | private OnlineMeanAndVarianceCalculator meanAndVarianceCalculator;
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33 | public double SharpeRatio {
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34 | get {
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35 | if (meanAndVarianceCalculator.Variance > 0)
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36 | return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.Variance);
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37 | else return 0.0;
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38 | }
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39 | }
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40 |
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41 | public OnlineSharpeRatioCalculator(double transactionCost) {
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42 | this.transactionCost = transactionCost;
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43 | this.meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
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44 | Reset();
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45 | }
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46 |
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47 | #region IOnlineCalculator Members
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48 | public OnlineCalculatorError ErrorState {
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49 | get {
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50 | return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState;
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51 | }
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52 | }
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53 | public double Value {
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54 | get { return SharpeRatio; }
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55 | }
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56 | public void Reset() {
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57 | p = 0;
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58 | c = 0;
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59 | meanAndVarianceCalculator.Reset();
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60 | }
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61 |
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62 | public void Add(double actualReturn, double signal) {
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63 | double iterationReturn = 0.0;
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64 | if (c == 0) {
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65 | p = (int)signal;
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66 | iterationReturn = 0;
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67 | c++;
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68 | } else {
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69 | if (p == 0 && signal.IsAlmost(0)) {
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70 | } else if (p == 0 && signal.IsAlmost(1)) {
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71 | p = 1;
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72 | } else if (p == 0 && signal.IsAlmost(-1)) {
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73 | p = -1;
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74 | } else if (p == 1 && signal.IsAlmost(1)) {
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75 | iterationReturn = actualReturn;
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76 | } else if (p == 1 && signal.IsAlmost(0)) {
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77 | iterationReturn = actualReturn - transactionCost;
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78 | p = 0;
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79 | } else if (p == 1 && signal.IsAlmost(-1)) {
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80 | iterationReturn = actualReturn - transactionCost;
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81 | p = -1;
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82 | } else if (p == -1 && signal.IsAlmost(-1)) {
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83 | iterationReturn = -actualReturn;
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84 | } else if (p == -1 && signal.IsAlmost(0)) {
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85 | iterationReturn = -actualReturn - transactionCost;
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86 | p = 0;
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87 | } else if (p == -1 && signal.IsAlmost(1)) {
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88 | iterationReturn = -actualReturn - transactionCost;
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89 | p = 1;
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90 | }
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91 | c++;
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92 | }
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93 | meanAndVarianceCalculator.Add(iterationReturn);
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94 | }
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95 | #endregion
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96 |
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97 | public static double Calculate(IEnumerable<double> returns, IEnumerable<double> signals, double transactionCost, out OnlineCalculatorError errorState) {
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98 | IEnumerator<double> returnsEnumerator = returns.GetEnumerator();
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99 | IEnumerator<double> signalsEnumerator = signals.GetEnumerator();
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100 | OnlineSharpeRatioCalculator calculator = new OnlineSharpeRatioCalculator(transactionCost);
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101 |
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102 | // always move forward both enumerators (do not use short-circuit evaluation!)
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103 | while (returnsEnumerator.MoveNext() & signalsEnumerator.MoveNext()) {
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104 | double signal = signalsEnumerator.Current;
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105 | double @return = returnsEnumerator.Current;
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106 | calculator.Add(@return, signal);
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107 | }
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108 |
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109 | // check if both enumerators are at the end to make sure both enumerations have the same length
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110 | if (returnsEnumerator.MoveNext() || signalsEnumerator.MoveNext()) {
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111 | throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
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112 | } else {
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113 | errorState = calculator.ErrorState;
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114 | return calculator.SharpeRatio;
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115 | }
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116 | }
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117 | }
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118 | }
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