/// <summary>
/// Return current drawdown in percent, as value between 0 and 1.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</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>drawdown as time series</returns>
public static ITimeSeries <double> Drawdown(this ITimeSeries <double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
// TODO: rewrite this, using buffered lambda, see MaxDrawdown
return(IndicatorsBasic.Const(1.0, cacheId)
.Subtract(
series
.Divide(
series
.Highest(n, cacheId),
cacheId),
cacheId));
}
/// <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));
}
