[6123] | 1 | #region License Information
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| 2 | /* HeuristicLab
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[12969] | 3 | * Copyright (C) 2002-2015 Heuristic and Evolutionary Algorithms Laboratory (HEAL)
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[6123] | 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 |
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[9743] | 25 | namespace HeuristicLab.Problems.DataAnalysis.Trading {
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[6123] | 26 | public class OnlineSharpeRatioCalculator : IOnlineCalculator {
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| 27 |
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| 28 | private OnlineMeanAndVarianceCalculator meanAndVarianceCalculator;
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[9744] | 29 | private OnlineProfitCalculator profitCalculator;
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| 30 |
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[6123] | 31 | public double SharpeRatio {
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| 32 | get {
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| 33 | if (meanAndVarianceCalculator.Variance > 0)
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| 34 | return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.Variance);
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| 35 | else return 0.0;
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| 36 | }
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| 37 | }
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| 38 |
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| 39 | public OnlineSharpeRatioCalculator(double transactionCost) {
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| 40 | this.meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
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[9744] | 41 | this.profitCalculator = new OnlineProfitCalculator(transactionCost);
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[6123] | 42 | Reset();
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| 43 | }
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| 44 |
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| 45 | #region IOnlineCalculator Members
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| 46 | public OnlineCalculatorError ErrorState {
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| 47 | get {
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[9744] | 48 | return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState | profitCalculator.ErrorState;
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[6123] | 49 | }
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| 50 | }
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| 51 | public double Value {
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| 52 | get { return SharpeRatio; }
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| 53 | }
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| 54 | public void Reset() {
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[9744] | 55 | profitCalculator.Reset();
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[6123] | 56 | meanAndVarianceCalculator.Reset();
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| 57 | }
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| 58 |
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| 59 | public void Add(double actualReturn, double signal) {
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[9744] | 60 | double prevTotalProfit = profitCalculator.Profit;
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| 61 | profitCalculator.Add(actualReturn, signal);
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| 62 | double curTotalProfit = profitCalculator.Profit;
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| 63 |
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| 64 | meanAndVarianceCalculator.Add(curTotalProfit - prevTotalProfit);
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[6123] | 65 | }
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| 66 | #endregion
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| 67 |
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| 68 | public static double Calculate(IEnumerable<double> returns, IEnumerable<double> signals, double transactionCost, out OnlineCalculatorError errorState) {
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| 69 | IEnumerator<double> returnsEnumerator = returns.GetEnumerator();
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| 70 | IEnumerator<double> signalsEnumerator = signals.GetEnumerator();
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| 71 | OnlineSharpeRatioCalculator calculator = new OnlineSharpeRatioCalculator(transactionCost);
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| 72 |
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| 73 | // always move forward both enumerators (do not use short-circuit evaluation!)
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| 74 | while (returnsEnumerator.MoveNext() & signalsEnumerator.MoveNext()) {
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| 75 | double signal = signalsEnumerator.Current;
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| 76 | double @return = returnsEnumerator.Current;
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| 77 | calculator.Add(@return, signal);
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| 78 | }
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| 79 |
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| 80 | // check if both enumerators are at the end to make sure both enumerations have the same length
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| 81 | if (returnsEnumerator.MoveNext() || signalsEnumerator.MoveNext()) {
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| 82 | throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
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| 83 | } else {
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| 84 | errorState = calculator.ErrorState;
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| 85 | return calculator.SharpeRatio;
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| 86 | }
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| 87 | }
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| 88 | }
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| 89 | }
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