public LongTermVolExpectedReturn()
{
TargetVol = 0.06;
ShouldIncludeInstrument = (comId_, date_) => true;
LowerLimit = (comid_, date_) => (comid_.IsSector(ComSector.Meats) || comid_.IsSector(ComSector.Softs) ||
String.Compare("Lead", comid_.Name, StringComparison.OrdinalIgnoreCase) == 0)
? -0.15
: -0.3d;
UpperLimit = (comid_, date_) => (comid_.IsSector(ComSector.Meats) || comid_.IsSector(ComSector.Softs) ||
String.Compare("Lead", comid_.Name, StringComparison.OrdinalIgnoreCase) == 0)
? 0.15
: 0.3d;
RebalFreq = Backtest.RebalFreq.Monthly;
var spots = Singleton<ComIndexPrices>.Instance.GetData(DataConstants.DATA_START, DateTime.Today).ToReturns();
LongTermVols = spots.ProcessEachColumn((dailyRetunrs) => HelperMethods.GetRollingStat(dailyRetunrs, 750, Statistics.Stdev));
EER = (comid_, date_) => LongTermVols.GetValue_Previous(date_, comid_.ArrayIndex);
}