public static double GetSharpeRatio(IEnumerable <double> data)
{
double result = double.NaN;
if (data.Any())
{
var returns = data.Take(data.Count() - 1).Zip(data.Skip(1), (oldValue, newValue) => (newValue - oldValue) / oldValue * 100);
if (returns.Any())
{
var returnsStd = StdCalculator.GetStd(returns, true);
result = returns.Average() / returnsStd;
}
}
return(result);
}
public static double GetSortinoRatio(IEnumerable <double> data)
{
double result = double.NaN;
if (data.Any())
{
var returns = data.Take(data.Count() - 1).Zip(data.Skip(1), (oldValue, newValue) => (newValue - oldValue) / oldValue * 100);
var negativeReturns = returns.Where(iReturn => iReturn < 0);
if (negativeReturns.Any())
{
var negativeReturnsStd = StdCalculator.GetStd(negativeReturns, true);
result = returns.Average() / negativeReturnsStd;
}
}
return(result);
}