public void Removed()
{
List <BetaResult> results = Indicator.GetBeta(quotes, otherQuotes, 20)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 19, results.Count);
BetaResult last = results.LastOrDefault();
Assert.AreEqual(1.6759, Math.Round((double)last.Beta, 4));
}
public void All()
{
List <BetaResult> results = Indicator
.GetBeta(quotes, otherQuotes, 20, BetaType.All)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.Beta != null).Count());
Assert.AreEqual(482, results.Where(x => x.BetaUp != null).Count());
Assert.AreEqual(482, results.Where(x => x.BetaDown != null).Count());
// sample values
BetaResult r19 = results[19];
Assert.IsNull(r19.Beta);
Assert.IsNull(r19.BetaUp);
Assert.IsNull(r19.BetaDown);
Assert.IsNull(r19.Ratio);
Assert.IsNull(r19.Convexity);
BetaResult r20 = results[20];
Assert.AreEqual(1.5139, Math.Round((double)r20.Beta, 4));
Assert.AreEqual(1.8007, Math.Round((double)r20.BetaUp, 4));
Assert.AreEqual(0.3292, Math.Round((double)r20.BetaDown, 4));
Assert.AreEqual(5.4693, Math.Round((double)r20.Ratio, 4));
Assert.AreEqual(2.1652, Math.Round((double)r20.Convexity, 4));
Assert.AreEqual(-0.010678, Math.Round((double)r20.ReturnsEval, 6));
Assert.AreEqual(0.000419, Math.Round((double)r20.ReturnsMrkt, 6));
BetaResult r249 = results[249];
Assert.AreEqual(1.9200, Math.Round((double)r249.Beta, 4));
Assert.AreEqual(-1.2289, Math.Round((double)r249.BetaUp, 4));
Assert.AreEqual(-0.3956, Math.Round((double)r249.BetaDown, 4));
Assert.AreEqual(3.1066, Math.Round((double)r249.Ratio, 4));
Assert.AreEqual(0.6944, Math.Round((double)r249.Convexity, 4));
BetaResult r501 = results[501];
Assert.AreEqual(1.5123, Math.Round((double)r501.Beta, 4));
Assert.AreEqual(2.0721, Math.Round((double)r501.BetaUp, 4));
Assert.AreEqual(1.5908, Math.Round((double)r501.BetaDown, 4));
Assert.AreEqual(1.3026, Math.Round((double)r501.Ratio, 4));
Assert.AreEqual(0.2316, Math.Round((double)r501.Convexity, 4));
}
public void All()
{
List <BetaResult> results = Indicator
.GetBeta(quotes, otherQuotes, 20, BetaType.All)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Beta != null).Count());
Assert.AreEqual(482, results.Where(x => x.BetaUp != null).Count());
Assert.AreEqual(482, results.Where(x => x.BetaDown != null).Count());
// sample values
BetaResult r19 = results[19];
Assert.AreEqual(7.5476, Math.Round((double)r19.Beta, 4));
Assert.IsNull(r19.BetaUp);
Assert.IsNull(r19.BetaDown);
Assert.IsNull(r19.Ratio);
Assert.IsNull(r19.Convexity);
BetaResult r20 = results[20];
Assert.AreEqual(6.7488, Math.Round((double)r20.Beta, 4));
Assert.AreEqual(8.2407, Math.Round((double)r20.BetaUp, 4));
Assert.AreEqual(5.9296, Math.Round((double)r20.BetaDown, 4));
Assert.AreEqual(1.3898, Math.Round((double)r20.Ratio, 4));
Assert.AreEqual(5.3415, Math.Round((double)r20.Convexity, 4));
BetaResult r249 = results[249];
Assert.AreEqual(3.5528, Math.Round((double)r249.Beta, 4));
Assert.AreEqual(3.1061, Math.Round((double)r249.BetaUp, 4));
Assert.AreEqual(4.0684, Math.Round((double)r249.BetaDown, 4));
Assert.AreEqual(0.7635, Math.Round((double)r249.Ratio, 4));
Assert.AreEqual(0.9260, Math.Round((double)r249.Convexity, 4));
BetaResult r501 = results[501];
Assert.AreEqual(1.6759, Math.Round((double)r501.Beta, 4));
Assert.AreEqual(1.2838, Math.Round((double)r501.BetaUp, 4));
Assert.AreEqual(2.1034, Math.Round((double)r501.BetaDown, 4));
Assert.AreEqual(0.6104, Math.Round((double)r501.Ratio, 4));
Assert.AreEqual(0.6717, Math.Round((double)r501.Convexity, 4));
}
public void Standard()
{
List <BetaResult> results = Indicator.GetBeta(history, historyOther, 20)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Beta != null).Count());
// sample value
BetaResult r = results[501];
Assert.AreEqual(1.6759m, Math.Round((decimal)r.Beta, 4));
}
public void GetBetaTest()
{
int lookbackPeriod = 20;
IEnumerable <BetaResult> results = Indicator.GetBeta(history, historyOther, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Beta != null).Count());
// sample value
BetaResult r = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(1.6759m, Math.Round((decimal)r.Beta, 4));
}
public void GetBetaTest()
{
int lookbackPeriod = 20;
IEnumerable <BetaResult> results = Indicator.GetBeta(history, historyOther, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Beta != null).Count());
// sample value
BetaResult r = results.Where(x => x.Date == DateTime.ParseExact("12/31/2018", "MM/dd/yyyy", null)).FirstOrDefault();
Assert.AreEqual((decimal)1.6759, Math.Round((decimal)r.Beta, 4));
}
public void SameSame()
{
// Beta should be 1 if evaluating against self
List <BetaResult> results = Indicator.GetBeta(history, history, 20)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(483, results.Where(x => x.Beta != null).Count());
// sample value
BetaResult r = results[501];
Assert.AreEqual(1, Math.Round((decimal)r.Beta, 4));
}
public void Down()
{
List <BetaResult> results = Indicator
.GetBeta(quotes, otherQuotes, 20, BetaType.Down)
.ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(482, results.Where(x => x.BetaDown != null).Count());
// sample value
BetaResult r = results[501];
Assert.AreEqual(2.1034, Math.Round((double)r.BetaDown, 4));
}
public void GetBetaSameTest()
{
// Beta should be 1 if evaluating against self
int lookbackPeriod = 20;
IEnumerable <BetaResult> results = Indicator.GetBeta(history, history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod + 1, results.Where(x => x.Beta != null).Count());
// sample value
BetaResult r = results.Where(x => x.Date == DateTime.Parse("12/31/2018")).FirstOrDefault();
Assert.AreEqual(1, Math.Round((decimal)r.Beta, 4));
}
// 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;
}
}
}
}
// 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;
}
}
}
}
