Changeset 14303 for stable/HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs

Timestamp:

09/23/16 12:55:16 (8 years ago)

Author:

gkronber

Message:

#2649: merged r14226 and r14292 from trunk to stable

Location:

stable

Files:

• . (modified) (1 prop)
• HeuristicLab.Problems.DataAnalysis.Trading/3.4/Calculators/OnlineSharpeRatioCalculator.cs (modified) (2 diffs)

stable/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;
       }
     }