static BetaType ConvertAlpha2Beta(AlphaType x)
{
return(BetaType.New($"A2B({x._value})"));
}
public object Convert(Test6Attribute input)
{
return(BetaType.New("[obj!]"));
}
// Fail to bind because:
// We only have an AlphaBuilder, and no registered converters from Alpha-->Beta
public void Func([Test6("{k}")] BetaType w)
{
Assert.False(true); // Method shouldn't have been invoked.
}
// Input Rule (exact match): --> Widget
public void Func2([Test6("{k}")] BetaType w)
{
_log = w._value;
}
// calculate beta
private static void CalcBeta(
this BetaResult r,
int index,
int lookbackPeriods,
List <BasicD> bdListMrkt,
List <BasicD> bdListEval,
BetaType type)
{
// note: BetaType.All is ineligible for this method
// initialize
CorrResult c = new();
List <double> dataA = new(lookbackPeriods);
List <double> dataB = new(lookbackPeriods);
for (int p = index - lookbackPeriods + 1; p <= index; p++)
{
double a = bdListMrkt[p].Value;
double b = bdListEval[p].Value;
if (type is BetaType.Standard)
{
dataA.Add(a);
dataB.Add(b);
}
else if (type is BetaType.Down &&
a < bdListMrkt[p - 1].Value)
{
dataA.Add(a);
dataB.Add(b);
}
else if (type is BetaType.Up &&
a > bdListMrkt[p - 1].Value)
{
dataA.Add(a);
dataB.Add(b);
}
}
if (dataA.Count > 0)
{
// calculate correlation, covariance, and variance
c.CalcCorrelation(dataA.ToArray(), dataB.ToArray());
// calculate beta
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
double?beta = c.Covariance / c.VarianceA;
if (type == BetaType.Standard)
{
r.Beta = beta;
}
else if (type == BetaType.Down)
{
r.BetaDown = beta;
}
else if (type == BetaType.Up)
{
r.BetaUp = beta;
}
}
}
}
// BETA COEFFICIENT
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <BetaResult> GetBeta <TQuote>(
IEnumerable <TQuote> quotesMarket,
IEnumerable <TQuote> quotesEval,
int lookbackPeriods,
BetaType type = BetaType.Standard)
where TQuote : IQuote
{
// convert quotes
List <BasicD> bdListEval = quotesEval.ConvertToBasic(CandlePart.Close);
List <BasicD> bdListMrkt = quotesMarket.ConvertToBasic(CandlePart.Close);
// check parameter arguments
ValidateBeta(quotesMarket, quotesEval, lookbackPeriods);
// initialize
List <BetaResult> results = new(bdListEval.Count);
bool calcSd = type is BetaType.All or BetaType.Standard;
bool calcUp = type is BetaType.All or BetaType.Up;
bool calcDn = type is BetaType.All or BetaType.Down;
// roll through quotes
for (int i = 0; i < bdListEval.Count; i++)
{
BasicD e = bdListEval[i];
BetaResult r = new()
{
Date = e.Date
};
results.Add(r);
// skip warmup periods
if (i < lookbackPeriods - 1)
{
continue;
}
// calculate standard beta
if (calcSd)
{
r.CalcBeta(
i, lookbackPeriods, bdListMrkt, bdListEval, BetaType.Standard);
}
// calculate up/down betas
if (i >= lookbackPeriods)
{
if (calcDn)
{
r.CalcBeta(
i, lookbackPeriods, bdListMrkt, bdListEval, BetaType.Down);
}
if (calcUp)
{
r.CalcBeta(
i, lookbackPeriods, bdListMrkt, bdListEval, BetaType.Up);
}
}
// ratio and convexity
if (type == BetaType.All && r.BetaUp != null && r.BetaDown != null)
{
r.Ratio = (r.BetaDown != 0) ? r.BetaUp / r.BetaDown : null;
r.Convexity = (r.BetaUp - r.BetaDown) * (r.BetaUp - r.BetaDown);
}
}
return(results);
}
// BETA COEFFICIENT
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <BetaResult> GetBeta <TQuote>(
IEnumerable <TQuote> quotesMarket,
IEnumerable <TQuote> quotesEval,
int lookbackPeriods,
BetaType type = BetaType.Standard)
where TQuote : IQuote
{
// convert quotes
List <TQuote>?evalQuotesList = quotesEval.SortToList();
List <TQuote>?mrktQuotesList = quotesMarket.SortToList();
// check parameter arguments
ValidateBeta(mrktQuotesList, evalQuotesList, lookbackPeriods);
// initialize
int size = evalQuotesList.Count;
List <BetaResult> results = new(size);
bool calcSd = type is BetaType.All or BetaType.Standard;
bool calcUp = type is BetaType.All or BetaType.Up;
bool calcDn = type is BetaType.All or BetaType.Down;
// convert quotes to returns
double[] evalReturns = new double[size];
double[] mrktReturns = new double[size];
decimal? prevE = 0;
decimal? prevM = 0;
for (int i = 0; i < size; i++)
{
TQuote?e = evalQuotesList[i];
TQuote?m = mrktQuotesList[i];
if (e.Date != m.Date)
{
throw new InvalidQuotesException(nameof(quotesEval), e.Date,
"Date sequence does not match. Beta requires matching dates in provided quotes.");
}
evalReturns[i] = (double)(prevE != 0 ? (e.Close / prevE) - 1m : 0);
mrktReturns[i] = (double)(prevM != 0 ? (m.Close / prevM) - 1m : 0);
prevE = e.Close;
prevM = m.Close;
}
// roll through quotes
for (int i = 0; i < size; i++)
{
TQuote?q = evalQuotesList[i];
BetaResult r = new()
{
Date = q.Date,
ReturnsEval = evalReturns[i],
ReturnsMrkt = mrktReturns[i]
};
results.Add(r);
// skip warmup periods
if (i < lookbackPeriods)
{
continue;
}
// calculate beta variants
if (calcSd)
{
r.CalcBeta(
i, lookbackPeriods, mrktReturns, evalReturns, BetaType.Standard);
}
if (calcDn)
{
r.CalcBeta(
i, lookbackPeriods, mrktReturns, evalReturns, BetaType.Down);
}
if (calcUp)
{
r.CalcBeta(
i, lookbackPeriods, mrktReturns, evalReturns, BetaType.Up);
}
// ratio and convexity
if (type == BetaType.All && r.BetaUp != null && r.BetaDown != null)
{
r.Ratio = (r.BetaDown != 0) ? r.BetaUp / r.BetaDown : null;
r.Convexity = (r.BetaUp - r.BetaDown) * (r.BetaUp - r.BetaDown);
}
}
return(results);
}
// calculate beta
private static void CalcBeta(
this BetaResult r,
int i,
int lookbackPeriods,
double[] mrktReturns,
double[] evalReturns,
BetaType type)
{
// note: BetaType.All is ineligible for this method
// initialize
CorrResult c = new();
List <double> dataA = new(lookbackPeriods);
List <double> dataB = new(lookbackPeriods);
for (int p = i - lookbackPeriods + 1; p <= i; p++)
{
double a = mrktReturns[p];
double b = evalReturns[p];
if (type is BetaType.Standard)
{
dataA.Add(a);
dataB.Add(b);
}
else if (type is BetaType.Down && a < 0)
{
dataA.Add(a);
dataB.Add(b);
}
else if (type is BetaType.Up && a > 0)
{
dataA.Add(a);
dataB.Add(b);
}
}
if (dataA.Count > 0)
{
// calculate correlation, covariance, and variance
c.CalcCorrelation(dataA.ToArray(), dataB.ToArray());
// calculate beta
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
double?beta = c.Covariance / c.VarianceA;
if (type == BetaType.Standard)
{
r.Beta = beta;
}
else if (type == BetaType.Down)
{
r.BetaDown = beta;
}
else if (type == BetaType.Up)
{
r.BetaUp = beta;
}
}
}
}
