public static double?CalculateTrackingError(
IEnumerable <double> dailyPerformance1,
IEnumerable <double> dailyPerformance2,
out double?informationRatio)
{
informationRatio = null;
var count = dailyPerformance1.Count();
if (count < 1)
{
return(null);
}
IList <double> differences = new List <double>();
for (var i = 0; i < count; i++)
{
var value1 = 1 + dailyPerformance1.ElementAt(i);
var value2 = 1 + dailyPerformance2.ElementAt(i);
differences.Add((value1 <= 0 ? 0 : Math.Log(value1)) - (value2 <= 0 ? 0 : Math.Log(value2)));
}
var average = differences.Average();
var sum = differences.Select(x => Math.Pow(x - average, 2)).Sum();
var trackingError = Math.Pow(MathematicalFunctions.SafeDivision(sum, count - 1), 0.5) *
Math.Pow(260, 0.5);
informationRatio = MathematicalFunctions.SafeDivision(average * 260, trackingError);
return(trackingError);
}
/// <summary>
/// Gets the correlation. (Pearson Method)
/// </summary>
/// <param name="valuesX">The values_ X.</param>
/// <param name="valuesY">The values_ Y.</param>
/// <returns></returns>
public static double?GetCorrelation(IEnumerable <double> valuesX, IEnumerable <double> valuesY)
{
if (valuesX == null || valuesY == null || !valuesX.Any() || !valuesY.Any())
{
return(null);
}
var covariance = GetCoVariance(valuesX, valuesY);
var stdDevX = GetStandardDeviation(valuesX);
var stdDevY = GetStandardDeviation(valuesY);
return(MathematicalFunctions.SafeDivision(covariance, stdDevX * stdDevY));
}
/// <summary>
/// Gets the standard deviation per annum.
/// </summary>
/// <param name="values">The values.</param>
/// <returns></returns>
public static double?GetStandardDeviationPerAnnum(IDictionary <DateTime, double> values)
{
if (values == null)
{
return(null);
}
if (values.Count < 30)
{
return(null);
}
var timeSpan = values.Max(p => p.Key) - values.Min(p => p.Key);
double days = values.Count;
return(GetStandardDeviation(values.Select(p => p.Value)) *
Math.Sqrt(MathematicalFunctions.SafeDivision(days, timeSpan.Days) * Constants.DAYS_OF_YEAR));
}
public static IDictionary <DateTime, double> GetEntryFromIndexPerformance(IEnumerable <IPerformanceItem> data)
{
IDictionary <DateTime, double> result = new Dictionary <DateTime, double>();
var index = 0;
double lastIndex = 100;
foreach (var item in data.Where(x => x.Value.HasValue).OrderBy(x => x.Date))
{
result.Add(
item.Date,
index == 0 ? 0 : MathematicalFunctions.SafeDivision(item.Value ?? 100, lastIndex) - 1);
lastIndex = item.Value ?? 100;
index++;
}
return(result);
}
/// <summary>
/// Gets the variance.
/// </summary>
/// <param name="values">The values.</param>
/// <returns></returns>
public static double GetVariance(IEnumerable <double> values)
{
double variance = 0;
if (values == null)
{
return(variance);
}
if (!values.Any())
{
return(variance);
}
var count = Convert.ToDouble(values.Count());
var average = values.Average();
variance = values.Sum(value => Math.Pow(value - average, 2));
return(MathematicalFunctions.SafeDivision(variance, count));
}
/// <summary>
/// Gets the item performance values.
/// </summary>
/// <param name="values">The values.</param>
/// <returns></returns>
public static IDictionary <DateTime, double> GetItemPerformanceValues(IDictionary <DateTime, double> values)
{
var result = new Dictionary <DateTime, double>();
if (values == null)
{
return(result);
}
if (values.Count <= 0)
{
return(result);
}
var lastValue = values.First().Value;
foreach (var valuePair in values)
{
result.Add(valuePair.Key, MathematicalFunctions.SafeDivision(valuePair.Value, lastValue) - 1);
lastValue = valuePair.Value;
}
return(result);
}
/// <summary>
/// Gets the co variance.
/// </summary>
/// <param name="valuesX">The values_ X.</param>
/// <param name="valuesY">The values_ Y.</param>
/// <returns></returns>
public static double GetCoVariance(IEnumerable <double> valuesX, IEnumerable <double> valuesY)
{
if (valuesX == null || valuesY == null || !valuesX.Any() || !valuesY.Any())
{
return(0);
}
if (valuesX.Count() != valuesY.Count())
{
return(0);
}
var count = valuesX.Count();
var averageX = valuesX.Average();
var averageY = valuesY.Average();
double covariance = 0;
for (var i = 0; i < count; i++)
{
covariance += (valuesX.ElementAt(i) - averageX) * (valuesY.ElementAt(i) - averageY);
}
return(MathematicalFunctions.SafeDivision(covariance, Convert.ToDouble(count)));
}