// CORRELATION COEFFICIENT
public static IEnumerable <CorrResult> GetCorrelation(
IEnumerable <Quote> historyA, IEnumerable <Quote> historyB, int lookbackPeriod)
{
// clean quotes
historyA = Cleaners.PrepareHistory(historyA);
historyB = Cleaners.PrepareHistory(historyB);
// check exceptions
int qtyHistory = historyA.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Correlation. " +
string.Format("You provided {0} periods of history when {1} is required.", qtyHistory, minHistory));
}
// initialize
List <CorrResult> results = new List <CorrResult>();
// roll through history for interim data
foreach (Quote a in historyA)
{
Quote b = historyB.Where(x => x.Date == a.Date).FirstOrDefault();
if (b == null)
{
throw new BadHistoryException("Correlation requires matching dates in provided histories. {0} not found in historyB.");
}
CorrResult result = new CorrResult
{
Index = (int)a.Index,
Date = a.Date,
PriceA = a.Close,
PriceB = b.Close
// other values calculated in class properties
};
results.Add(result);
}
// compute correlation
foreach (CorrResult r in results.Where(x => x.Index >= lookbackPeriod))
{
IEnumerable <CorrResult> period = results.Where(x => x.Index > (r.Index - lookbackPeriod) && x.Index <= r.Index);
decimal avgA = period.Select(x => x.PriceA).Average();
decimal avgB = period.Select(x => x.PriceB).Average();
decimal avgA2 = period.Select(x => x.PriceA2).Average();
decimal avgB2 = period.Select(x => x.PriceB2).Average();
decimal avgAB = period.Select(x => x.PriceAB).Average();
r.VarianceA = avgA2 - avgA * avgA;
r.VarianceB = avgB2 - avgB * avgB;
r.Covariance = avgAB - avgA * avgB;
r.Correlation = r.Covariance / (decimal)Math.Sqrt((double)(r.VarianceA * r.VarianceB));
}
return(results);
}
// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta(
IEnumerable <Quote> historyMarket, IEnumerable <Quote> historyEval, int lookbackPeriod)
{
// clean quotes
historyMarket = Cleaners.PrepareHistory(historyMarket);
historyEval = Cleaners.PrepareHistory(historyEval);
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
IEnumerable <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod);
// roll through history for interim data
foreach (Quote e in historyEval)
{
BetaResult result = new BetaResult
{
Index = (int)e.Index,
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation.Where(x => x.Date == e.Date).FirstOrDefault();
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta(
IEnumerable <Quote> historyMarket, IEnumerable <Quote> historyEval, int lookbackPeriod)
{
// clean quotes
historyMarket = Cleaners.PrepareHistory(historyMarket);
historyEval = Cleaners.PrepareHistory(historyEval);
// check exceptions
int qtyHistory = historyEval.Count();
int minHistory = lookbackPeriod;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for Beta. " +
string.Format("You provided {0} periods of history when {1} is required."
, qtyHistory, minHistory));
}
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
IEnumerable <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod);
// roll through history for interim data
foreach (Quote e in historyEval)
{
BetaResult result = new BetaResult
{
Index = (int)e.Index,
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation.Where(x => x.Date == e.Date).FirstOrDefault();
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
// BETA COEFFICIENT
public static IEnumerable <BetaResult> GetBeta <TQuote>(
IEnumerable <TQuote> historyMarket,
IEnumerable <TQuote> historyEval,
int lookbackPeriod)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyEvalList = historyEval.Sort();
// validate parameters
ValidateBeta(historyMarket, historyEval, lookbackPeriod);
// initialize results
List <BetaResult> results = new List <BetaResult>();
// get prerequisite data
List <CorrResult> correlation = GetCorrelation(historyMarket, historyEval, lookbackPeriod).ToList();
// roll through history for interim data
for (int i = 0; i < historyEvalList.Count; i++)
{
TQuote e = historyEvalList[i];
BetaResult result = new BetaResult
{
Date = e.Date
};
// calculate beta, if available
CorrResult c = correlation[i];
if (c.Covariance != null && c.VarianceA != null && c.VarianceA != 0)
{
result.Beta = c.Covariance / c.VarianceA;
}
results.Add(result);
}
return(results);
}
// CORRELATION COEFFICIENT
public static IEnumerable <CorrResult> GetCorrelation <TQuote>(
IEnumerable <TQuote> historyA,
IEnumerable <TQuote> historyB,
int lookbackPeriod)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyListA = historyA.Sort();
List <TQuote> historyListB = historyB.Sort();
// validate parameters
ValidateCorrelation(historyA, historyB, lookbackPeriod);
// initialize
List <CorrResult> results = new List <CorrResult>();
// roll through history for interim data
for (int i = 0; i < historyListA.Count; i++)
{
TQuote a = historyListA[i];
TQuote b = historyListB[i];
int index = i + 1;
if (a.Date != b.Date)
{
throw new BadHistoryException(nameof(historyA), a.Date,
"Date sequence does not match. Correlation requires matching dates in provided histories.");
}
CorrResult r = new CorrResult
{
Date = a.Date
};
// compute correlation
if (index >= lookbackPeriod)
{
decimal sumPriceA = 0m;
decimal sumPriceB = 0m;
decimal sumPriceA2 = 0m;
decimal sumPriceB2 = 0m;
decimal sumPriceAB = 0m;
for (int p = index - lookbackPeriod; p < index; p++)
{
TQuote qa = historyListA[p];
TQuote qb = historyListB[p];
sumPriceA += qa.Close;
sumPriceB += qb.Close;
sumPriceA2 += qa.Close * qa.Close;
sumPriceB2 += qb.Close * qb.Close;
sumPriceAB += qa.Close * qb.Close;
}
decimal avgA = sumPriceA / lookbackPeriod;
decimal avgB = sumPriceB / lookbackPeriod;
decimal avgA2 = sumPriceA2 / lookbackPeriod;
decimal avgB2 = sumPriceB2 / lookbackPeriod;
decimal avgAB = sumPriceAB / lookbackPeriod;
r.VarianceA = avgA2 - avgA * avgA;
r.VarianceB = avgB2 - avgB * avgB;
r.Covariance = avgAB - avgA * avgB;
r.Correlation = (r.VarianceA == 0 || r.VarianceB == 0) ? null
: r.Covariance / (decimal)Math.Sqrt((double)(r.VarianceA * r.VarianceB));
r.RSquared = r.Correlation * r.Correlation;
}
results.Add(r);
}
return(results);
}
// CORRELATION COEFFICIENT
public static IEnumerable <CorrResult> GetCorrelation(
IEnumerable <Quote> historyA, IEnumerable <Quote> historyB, int lookbackPeriod)
{
// clean quotes
List <Quote> historyListA = Cleaners.PrepareHistory(historyA).ToList();
List <Quote> historyListB = Cleaners.PrepareHistory(historyB).ToList();
// validate parameters
ValidateCorrelation(historyListA, historyListB, lookbackPeriod);
// initialize
List <CorrResult> results = new List <CorrResult>();
// roll through history for interim data
for (int i = 0; i < historyListA.Count; i++)
{
Quote a = historyListA[i];
Quote b = historyListB[i];
if (a.Date != b.Date)
{
throw new BadHistoryException(
"Date sequence does not match. Correlation requires matching dates in provided histories.");
}
CorrResult result = new CorrResult
{
Index = (int)a.Index,
Date = a.Date,
PriceA = a.Close,
PriceB = b.Close
// other values calculated in class properties
};
results.Add(result);
}
// compute correlation
for (int i = lookbackPeriod - 1; i < results.Count; i++)
{
CorrResult r = results[i];
List <CorrResult> period = results
.Where(x => x.Index > (r.Index - lookbackPeriod) && x.Index <= r.Index)
.ToList();
decimal avgA = period.Select(x => x.PriceA).Average();
decimal avgB = period.Select(x => x.PriceB).Average();
decimal avgA2 = period.Select(x => x.PriceA2).Average();
decimal avgB2 = period.Select(x => x.PriceB2).Average();
decimal avgAB = period.Select(x => x.PriceAB).Average();
r.VarianceA = avgA2 - avgA * avgA;
r.VarianceB = avgB2 - avgB * avgB;
r.Covariance = avgAB - avgA * avgB;
r.Correlation = r.Covariance / (decimal)Math.Sqrt((double)(r.VarianceA * r.VarianceB));
r.RSquared = r.Correlation * r.Correlation;
}
return(results);
}
// CORRELATION COEFFICIENT
public static IEnumerable <CorrResult> GetCorrelation(
IEnumerable <Quote> historyA, IEnumerable <Quote> historyB, int lookbackPeriod)
{
// clean quotes
List <Quote> historyListA = Cleaners.PrepareHistory(historyA).ToList();
List <Quote> historyListB = Cleaners.PrepareHistory(historyB).ToList();
// validate parameters
ValidateCorrelation(historyA, historyB, lookbackPeriod);
// initialize
List <CorrResult> results = new List <CorrResult>();
// roll through history for interim data
for (int i = 0; i < historyListA.Count; i++)
{
Quote a = historyListA[i];
Quote b = historyListB[i];
if (a.Date != b.Date)
{
throw new BadHistoryException(
"Date sequence does not match. Correlation requires matching dates in provided histories.");
}
CorrResult r = new CorrResult
{
Index = (int)a.Index,
Date = a.Date,
PriceA = a.Close,
PriceB = b.Close,
PriceA2 = a.Close * a.Close,
PriceB2 = b.Close * b.Close,
PriceAB = a.Close * b.Close
};
results.Add(r);
// compute correlation
if (i + 1 >= lookbackPeriod)
{
decimal sumPriceA = 0m;
decimal sumPriceB = 0m;
decimal sumPriceA2 = 0m;
decimal sumPriceB2 = 0m;
decimal sumPriceAB = 0m;
for (int p = r.Index - lookbackPeriod; p < r.Index; p++)
{
CorrResult d = results[p];
sumPriceA += d.PriceA;
sumPriceB += d.PriceB;
sumPriceA2 += d.PriceA2;
sumPriceB2 += d.PriceB2;
sumPriceAB += d.PriceAB;
}
decimal avgA = sumPriceA / lookbackPeriod;
decimal avgB = sumPriceB / lookbackPeriod;
decimal avgA2 = sumPriceA2 / lookbackPeriod;
decimal avgB2 = sumPriceB2 / lookbackPeriod;
decimal avgAB = sumPriceAB / lookbackPeriod;
r.VarianceA = avgA2 - avgA * avgA;
r.VarianceB = avgB2 - avgB * avgB;
r.Covariance = avgAB - avgA * avgB;
r.Correlation = r.Covariance / (decimal)Math.Sqrt((double)(r.VarianceA * r.VarianceB));
r.RSquared = r.Correlation * r.Correlation;
}
}
return(results);
}
