public static IEnumerable <double> GetProfits(IEnumerable <double> returns, IEnumerable <double> signals, double transactionCost)
{
var calc = new OnlineProfitCalculator(transactionCost);
IEnumerator <double> returnsEnumerator = returns.GetEnumerator();
IEnumerator <double> signalsEnumerator = signals.GetEnumerator();
// always move forward both enumerators (do not use short-circuit evaluation!)
while (returnsEnumerator.MoveNext() & signalsEnumerator.MoveNext())
{
double signal = signalsEnumerator.Current;
double @return = returnsEnumerator.Current;
double prevTotalProfit = calc.Profit;
calc.Add(@return, signal);
double curTotalProfit = calc.Profit;
yield return(curTotalProfit - prevTotalProfit);
}
// check if both enumerators are at the end to make sure both enumerations have the same length
if (returnsEnumerator.MoveNext() || signalsEnumerator.MoveNext())
{
throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
}
}
protected void CalculateTradingResults()
{
double[] trainingSignals = TrainingSignals.ToArray(); // cache values
IEnumerable <double> trainingReturns = ProblemData.Dataset.GetDoubleValues(ProblemData.PriceChangeVariable, ProblemData.TrainingIndices);
double[] testSignals = TestSignals.ToArray(); // cache values
IEnumerable <double> testReturns = ProblemData.Dataset.GetDoubleValues(ProblemData.PriceChangeVariable, ProblemData.TestIndices);
OnlineCalculatorError errorState;
double trainingSharpeRatio = OnlineSharpeRatioCalculator.Calculate(trainingReturns, trainingSignals, ProblemData.TransactionCosts, out errorState);
TrainingSharpeRatio = errorState == OnlineCalculatorError.None ? trainingSharpeRatio : double.NaN;
double testSharpeRatio = OnlineSharpeRatioCalculator.Calculate(testReturns, testSignals, ProblemData.TransactionCosts, out errorState);
TestSharpeRatio = errorState == OnlineCalculatorError.None ? testSharpeRatio : double.NaN;
double trainingProfit = OnlineProfitCalculator.Calculate(trainingReturns, trainingSignals, ProblemData.TransactionCosts, out errorState);
TrainingProfit = errorState == OnlineCalculatorError.None ? trainingProfit : double.NaN;
double testProfit = OnlineProfitCalculator.Calculate(testReturns, testSignals, ProblemData.TransactionCosts, out errorState);
TestProfit = errorState == OnlineCalculatorError.None ? testProfit : double.NaN;
}
public static IEnumerable<double> GetProfits(IEnumerable<double> returns, IEnumerable<double> signals, double transactionCost) {
var calc = new OnlineProfitCalculator(transactionCost);
IEnumerator<double> returnsEnumerator = returns.GetEnumerator();
IEnumerator<double> signalsEnumerator = signals.GetEnumerator();
// always move forward both enumerators (do not use short-circuit evaluation!)
while (returnsEnumerator.MoveNext() & signalsEnumerator.MoveNext()) {
double signal = signalsEnumerator.Current;
double @return = returnsEnumerator.Current;
double prevTotalProfit = calc.Profit;
calc.Add(@return, signal);
double curTotalProfit = calc.Profit;
yield return curTotalProfit - prevTotalProfit;
}
// check if both enumerators are at the end to make sure both enumerations have the same length
if (returnsEnumerator.MoveNext() || signalsEnumerator.MoveNext()) {
throw new ArgumentException("Number of elements in first and second enumeration doesn't match.");
}
}
public OnlineSharpeRatioCalculator(double transactionCost)
{
this.meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
this.profitCalculator = new OnlineProfitCalculator(transactionCost);
Reset();
}
public OnlineSharpeRatioCalculator(double transactionCost) {
this.meanAndVarianceCalculator = new OnlineMeanAndVarianceCalculator();
this.profitCalculator = new OnlineProfitCalculator(transactionCost);
Reset();
}
