public static object EWMAVol(object[] Data, double DecayFactor, object FullVolSeriesOpt, object ReverseDataOpt)
{
bool fullSeries = Utils.GetOptionalParameter(FullVolSeriesOpt, false);
bool reverseData = Utils.GetOptionalParameter(ReverseDataOpt, false);
double[] data = Utils.GetVector <double>(Data);
if (reverseData)
{
data = data.Reverse().ToArray();
}
EWVol ew = new EWVol(DecayFactor);
double[,] ret = new double[data.Length, 1];
for (int i = 0; i < ret.Length; ++i)
{
int index = (reverseData ? ret.Length - i - 1 : i);
ret[index, 0] = ew.Update(data[i]);
}
if (fullSeries)
{
return(ret);
}
else
{
return(reverseData ? ret[0, 0] : ret[data.Length - 1, 0]);
}
}
public static double[] GetSharpe(double[] prices, int numDaysReturns, bool useBPReturns, int SharpeWindow,
int annualisationFactor, bool returnZScore, int ZWindow, bool exponentialSharpe)
{
double[] ret = CalculateReturns(prices, numDaysReturns, useBPReturns);
int nRet = prices.Length;
CircularBuffer <double> returns = new CircularBuffer <double>(SharpeWindow);
CircularBuffer <double> sharpes = new CircularBuffer <double>(ZWindow);
double decayFactor = 1 - 2.0 / (SharpeWindow + 1);
EMA r_ema = new EMA(decayFactor);
EWVol v_ema = new EWVol(decayFactor);
for (int i = 0; i < nRet; ++i)
{
returns.Insert(ret[i]);
if (returns.Full)
{
double sharpe = 0;
if (!exponentialSharpe)
{
double r_t = (prices[i] - prices[i - SharpeWindow + 1]) / prices[i - SharpeWindow + 1] / SharpeWindow;
sharpe = r_t / returns.SD() * Math.Sqrt(annualisationFactor);
}
else
{
r_ema.Update(ret[i]);
v_ema.Update(ret[i]);
sharpe = r_ema.Value / v_ema.Value * Math.Sqrt(annualisationFactor);
}
sharpes.Insert(sharpe);
}
}
double[] r = new double[2];
r[0] = sharpes.Last();
r[1] = sharpes.Last() / sharpes.SD();
return(r);
}