private static DatedDataCollectionGen<double> getZScores(DatedDataCollectionGen<double> pxs_, double convention_, int windowLength_, bool scoreIsFromMean_)
{
var vol = HelperMethods.GetRollingStat(pxs_.ToReturns(), windowLength_, Statistics.Stdev);
if (!scoreIsFromMean_)
{
var rets = getPeriodReturns(pxs_, convention_, windowLength_);
var dates = vol.Length < rets.Length ? vol.Dates : rets.Dates;
var vals = new double[dates.Length];
for (int i = 0; i < dates.Length; ++i)
{
vals[i] = rets.ValueOnDate(dates[i]) / (vol.ValueOnDate(dates[i]) * Math.Sqrt(Convert.ToDouble(windowLength_)));
}
return new DatedDataCollectionGen<double>(dates, vals);
}
else
{
var ma = HelperMethods.GetEMA(pxs_, windowLength_);
var numerator = pxs_.Minus(ma);
var denominator = vol.ProcessEachValue(x => x*Math.Sqrt(Convert.ToDouble(windowLength_)));
return numerator.DivideBy(denominator);
}
}
