public static object TestSummaryContainer(double[] data)
{
object[,] ret = new object[data.Length, 6];
SummaryContainer sc = new SummaryContainer();
int i = 0;
foreach (double d in data)
{
sc.Add(d);
ret[i, 0] = sc.Count;
ret[i, 1] = sc.Min;
ret[i, 2] = sc.Max;
ret[i, 3] = sc.Average;
ret[i, 4] = sc.Stdev;
ret[i, 5] = sc.Total;
i++;
}
return(ret);
}
public static object DescribeReturns(object[,] PriceSeries, object HideLabelsOpt, object AnnualisationFactorOpt,
object AnnualRiskFreeRateOpt, object UseBPReturnsOpt, object ExcludeZeroReturnsOpt)
{
double[,] priceSeries = Utils.GetMatrix <double>(PriceSeries);
bool hideLabels = Utils.GetOptionalParameter(HideLabelsOpt, false);
double annFactor = Utils.GetOptionalParameter(AnnualisationFactorOpt, 1.0);
double riskFreeRate = Utils.GetOptionalParameter(AnnualRiskFreeRateOpt, 0.0);
bool useBPReturns = Utils.GetOptionalParameter(UseBPReturnsOpt, false);
bool excludeZeroes = Utils.GetOptionalParameter(ExcludeZeroReturnsOpt, false);
if (priceSeries.Length == 0)
{
return("No data!");
}
int nAssets = priceSeries.GetLength(1), nDates = priceSeries.GetLength(0);
object[,] ret = new object[10, nAssets + (hideLabels ? 0 : 1)];
for (int a = 0; a < nAssets; ++a)
{
double maxLevel = priceSeries[0, a], maxDD = 1e10;
SummaryContainer sc = new SummaryContainer();
DistributionContainer dc = new DistributionContainer(1e-7);
for (int i = 1; i < nDates; ++i)
{
double r = (useBPReturns ? (priceSeries[i, a] - priceSeries[i - 1, a]) / 100 : priceSeries[i, a] / priceSeries[i - 1, a] - 1);
if (!excludeZeroes || r != 0)
{
sc.Add(r);
dc.Add(r);
}
if (priceSeries[i, a] > maxLevel)
{
maxLevel = priceSeries[i, a];
}
double dd = (useBPReturns ? (priceSeries[i, a] - maxLevel) / 100 : priceSeries[i, a] / maxLevel - 1);
if (dd < maxDD)
{
maxDD = dd;
}
}
int dataIndex = a + (hideLabels ? 0 : 1);
ret[0, dataIndex] = sc.Average * annFactor;
ret[1, dataIndex] = sc.Stdev * Math.Sqrt(annFactor);
ret[2, dataIndex] = (ret[0, dataIndex].AsDouble() - riskFreeRate) / ret[1, dataIndex].AsDouble();
ret[3, dataIndex] = maxLevel / priceSeries[0, a];
ret[4, dataIndex] = maxDD;
ret[5, dataIndex] = -maxDD / (sc.Stdev * Math.Sqrt(annFactor));
ret[6, dataIndex] = (sc.Average * annFactor) / -maxDD;
ret[7, dataIndex] = priceSeries[nDates - 1, a] / priceSeries[0, a];
ret[8, dataIndex] = dc.GetValue(0.05);
ret[9, dataIndex] = dc.GetValue(0.01);
}
if (!hideLabels)
{
ret[0, 0] = "Average Return";
ret[1, 0] = "Volatility";
ret[2, 0] = "Sharpe";
ret[3, 0] = "High Watermark";
ret[4, 0] = "Max Drawdown";
ret[5, 0] = "Max DD / Vol";
ret[6, 0] = "Avg Ret / Max DD";
ret[7, 0] = "Final Level";
ret[8, 0] = "VaR95";
ret[9, 0] = "VaR99";
}
return(ret);
}
