/// <summary>
/// Calculate Sharpe Ratio, as described here:
/// <see href="https://en.wikipedia.org/wiki/Sharpe_ratio"/>
/// </summary>
/// <param name="series"></param>
/// <param name="riskFreeRate"></param>
/// <param name="n"></param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns></returns>
public static ITimeSeries <double> SharpeRatio(this ITimeSeries <double> series, ITimeSeries <double> riskFreeRate, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), riskFreeRate.GetHashCode(), n);
var excessReturn = series
.Return(cacheId)
.Subtract(riskFreeRate
.Return(cacheId),
cacheId);
return(excessReturn
.EMA(n, cacheId)
.Divide(excessReturn
.FastStandardDeviation(n, cacheId)
.Max(IndicatorsBasic.Const(1e-10, cacheId), cacheId),
cacheId));
}
/// <summary>
/// Calculate Relative Strength Index, as described here:
/// <see href="https://en.wikipedia.org/wiki/Relative_strength_index"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">smoothing period</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>RSI time series</returns>
public static ITimeSeries <double> RSI(this ITimeSeries <double> series, int n = 14,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
ITimeSeries <double> returns = series.Return(cacheId);
double avgUp = returns
.Max(0.0, cacheId)
.EMA(n, cacheId)[0];
double avgDown = -returns
.Min(0.0, cacheId)
.EMA(n, cacheId)[0];
double rs = avgUp / Math.Max(1e-10, avgDown);
return(IndicatorsBasic.BufferedLambda(
v => 100.0 - 100.0 / (1 + rs),
50.0,
cacheId));
}
/// <summary>
/// Calculate True Strength Index of input time series, as described here:
/// <see href="https://en.wikipedia.org/wiki/True_strength_index"/>
/// </summary>
/// <param name="series">input time series</param>
/// <param name="r">smoothing period for momentum</param>
/// <param name="s">smoothing period for smoothed momentum</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>TSI time series</returns>
public static ITimeSeries <double> TSI(this ITimeSeries <double> series, int r = 25, int s = 13,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), r, s);
ITimeSeries <double> momentum = series
.Return(cacheId);
double numerator = momentum
.EMA(r, cacheId)
.EMA(s, cacheId)[0];
double denominator = momentum
.AbsValue(cacheId)
.EMA(r, cacheId)
.EMA(s, cacheId)[0];
return(IndicatorsBasic.BufferedLambda(
v => 100.0 * numerator / Math.Max(1e-10, denominator),
0.5,
cacheId));
}
