Changeset 14226 for trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

Timestamp:

08/02/16 16:16:29 (8 years ago)

Author:

gkronber

Message:

#2649 adapted OnlineSharpeRatioCalculator and OnlineNormalizedMeanSquaredErrorCalculator to use PopulationVariance instead of Variance (minor difference for vectors with only a few elements)

File:

• trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs (modified) (2 diffs)

trunk/sources/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

@@ -31 +31 @@
     public double SharpeRatio {
       get {
-        if (meanAndVarianceCalculator.Variance > 0)
-          return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.Variance);
+        if (meanAndVarianceCalculator.PopulationVariance > 0)
+          return meanAndVarianceCalculator.Mean / Math.Sqrt(meanAndVarianceCalculator.PopulationVariance);
         else return 0.0;
       }
@@ -46 +46 @@
     public OnlineCalculatorError ErrorState {
       get {
-        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.VarianceErrorState | profitCalculator.ErrorState;
+        return meanAndVarianceCalculator.MeanErrorState | meanAndVarianceCalculator.PopulationVarianceErrorState | profitCalculator.ErrorState;
       }
     }