/// <summary>
/// Calculate
/// </summary>
/// <returns></returns>
public virtual double Calculate()
{
var input = Values.FirstOrDefault();
var output = Values.LastOrDefault();
if (input == null || output == null)
{
return(0.0);
}
var cagr = new CAGR
{
Values = Values
};
var values = Values.Select((o, i) => o.Value - Values.ElementAtOrDefault(i - 1)?.Value ?? 0.0);
var excessGain = cagr.Calculate() - InterestRate;
var days = output.Time.Subtract(input.Time).Duration().Days + 1.0;
var downsideDeviation = values.DownsideDeviation(0);
var annualDeviation = (double.IsNaN(downsideDeviation) ? 0.0 : downsideDeviation) * Math.Sqrt(days);
if (annualDeviation == 0)
{
return(0.0);
}
return(excessGain / annualDeviation);
}
/// <summary>
/// Calculate
/// </summary>
/// <returns></returns>
public virtual double Calculate()
{
var cagr = new CAGR
{
Values = Values
};
var maxLoss = 0.0;
var count = Values.Count();
if (count == 0)
{
return(0.0);
}
for (var i = 1; i < count; i++)
{
var currentValue = Values.ElementAtOrDefault(i)?.Value ?? 0;
var previousValue = Values.ElementAtOrDefault(i - 1)?.Value ?? 0;
if (previousValue > currentValue)
{
maxLoss = Math.Max(maxLoss, previousValue - currentValue);
}
}
if (maxLoss == 0)
{
return(0.0);
}
return(cagr.Calculate() / maxLoss);
}
/// <summary>
/// Calculate
/// </summary>
/// <returns></returns>
public virtual double Calculate()
{
var cagr = new CAGR
{
Values = Values
};
var count = Values.Count();
var losses = new List <double>();
if (count == 0)
{
return(0.0);
}
for (var i = 1; i < count; i++)
{
var currentValue = Values.ElementAtOrDefault(i)?.Value ?? 0;
var previousValue = Values.ElementAtOrDefault(i - 1)?.Value ?? 0;
if (previousValue > currentValue)
{
losses.Add(Math.Pow(previousValue - currentValue, 2));
}
}
var averageLoss = losses.Any() ? losses.Average() : 1.0;
return((cagr.Calculate() - InterestRate.Value) / Math.Sqrt(averageLoss));
}
/// <summary>
/// Calculate
/// </summary>
/// <param name="option"></param>
/// <returns></returns>
public virtual double CalculateCompoundRatio(int?option = 0)
{
var input = Values.FirstOrDefault();
var output = Values.LastOrDefault();
if (input == null || output == null)
{
return(0.0);
}
var score = new CAGR
{
Values = Values
};
var excessGain = score.Calculate() - InterestRate;
var days = output.Time.Subtract(input.Time).Duration().Days + 1;
var deviation = Values.Select(o => o.Value).StandardDeviation() * Math.Sqrt(days);
if (deviation == 0)
{
return(0.0);
}
return(excessGain / deviation);
}