public RiskParameters(LinearRegression regression, double weight,
double tradeLimit, double risk, double commission)
{
if (regression == null)
{
throw new ArgumentNullException(nameof(regression));
}
Regression = regression;
Weight = weight;
TradeLimit = tradeLimit;
Risk = risk;
Commission = commission;
}
private void SetRegressions(double rValueMinimum)
{
double[] indexValues = historicalPrices[indexSymbol];
foreach (var item in historicalPrices)
{
if (item.Key != indexSymbol)
{
double[] prices = historicalPrices[item.Key];
var lr = new LinearRegression(prices, indexValues);
lr.Calculate();
if (Math.Abs(lr.R) >= Math.Abs(rValueMinimum))
{
CreateRiskParameter(item.Key, lr);
}
}
}
}
private void CreateRiskParameter(string symbol, LinearRegression regression)
{
riskParameters.Add(symbol, new RiskParameters(regression, 0, 0, 0, 0));
}
