} // End Drawdown:
/// <summary>
/// Get the Sharpe Ratio of this period:
/// </summary>
/// <param name="equity">Equity of this period.</param>
/// <param name="averageAnnualGrowth">Percentage annual growth</param>
/// <param name="rounding">decimal rounding</param>
/// <param name="startingCash">Starting cash for the conversion to percentages</param>
/// <returns>decimal sharpe.</returns>
public static decimal SharpeRatio(SortedDictionary <DateTime, decimal> equity, SortedDictionary <DateTime, decimal> performance, decimal startingCash, decimal averageAnnualGrowth, int rounding = 1)
{
//Initialise
decimal sharpe = 0;
try {
decimal[] equityCash = equity.Values.ToArray();
decimal[] dailyPerformance = performance.Values.ToArray();
List <decimal> equityPercent = new List <decimal>();
//Sharpe = Mean Daily Performance * Sqrt (252) / StdDeviation of Returns
decimal averageDailyPerformance = dailyPerformance.Average();
decimal standardDeviationOfReturns = QCMath.StandardDeviation(dailyPerformance);
Log.Trace("Avg Daily Performance: " + averageDailyPerformance + " Std Dev: " + standardDeviationOfReturns.ToString());
if (standardDeviationOfReturns > 0)
{
sharpe = (averageDailyPerformance * Convert.ToDecimal(Math.Sqrt(252))) / standardDeviationOfReturns;
}
Log.Trace("SHARPE RATIO: " + sharpe.ToString());
} catch (Exception err) {
Log.Error("Statistics.SharpeRatio(): " + err.Message);
}
if (sharpe > 10)
{
sharpe = Math.Round(sharpe, 0);
}
else if (sharpe > 0 & sharpe < 10)
{
sharpe = Math.Round(sharpe, 1);
}
else if (sharpe < 0)
{
sharpe = Math.Round(sharpe, 1);
}
return(sharpe);
}
/********************************************************
* CLASS VARIABLES
*********************************************************/
/********************************************************
* CLASS METHODS
*********************************************************/
/// <summary>
/// Find the standard deviation of a STArray data set
/// Formula found from here : http://www.johndcook.com/variance.gif
/// </summary>
/// <param name="dX">STArray VEctor</param>
/// <returns>decimal dVariance of the Vector</returns>
public static decimal GetVariance(IList <decimal> dX)
{
/*
* 1 | |
* s^2 = ---------- | n*sum( Xi^2 ) - sum(Xi) ^ 2 |
* n(n - 1) | |
*
*/
decimal dN = dX.Count;
decimal dSumXX = QCMath.VectorSquaredSum(dX);
decimal dSumX2 = (decimal)System.Math.Pow((double)dX.Sum(), 2);
decimal dVariance = (1 / (dN * (dN - 1))) * ((dN * dSumXX) - dSumX2);
if (dVariance < 0)
{
//Log.Error("QCMath: GetVariance(): Error calculating variance");
//Normally occurs when vector is identical, eg, 30 rows of $50.1, Variance=0:
dVariance = 0;
}
return(dVariance);
}
