public void RemovesOldValues()
{
var kellyCriterionManager = new KellyCriterionManager();
var start = new DateTime(2019, 1, 1);
kellyCriterionManager.AddNewValue(10, start);
kellyCriterionManager.AddNewValue(10, start);
kellyCriterionManager.UpdateScores();
Console.WriteLine($"Estimate {kellyCriterionManager.KellyCriterionEstimate}" +
$" - ProbabilityValue {kellyCriterionManager.KellyCriterionProbabilityValue}");
Assert.AreEqual(0.1, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(0.5, kellyCriterionManager.KellyCriterionProbabilityValue);
kellyCriterionManager.AddNewValue(-10, start.AddDays(365));
kellyCriterionManager.AddNewValue(-10, start.AddDays(365));
kellyCriterionManager.UpdateScores();
Console.WriteLine($"Estimate {kellyCriterionManager.KellyCriterionEstimate}" +
$" - ProbabilityValue {kellyCriterionManager.KellyCriterionProbabilityValue}");
Assert.AreEqual(-0.1, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(0.5, kellyCriterionManager.KellyCriterionProbabilityValue);
}
/// <summary>
/// Initializes a new instance of the <see cref="StatisticsInsightManagerExtension"/> class
/// </summary>
/// <param name="accountCurrencyProvider">The account currency provider</param>
/// <param name="tradablePercentOfVolume">Percent of volume of first bar used to estimate the maximum number of tradable shares. Defaults to 1%</param>
/// <param name="period">The period used for exponential smoothing of scores - this is a number of insights. Defaults to 100 insight predictions.</param>
/// <param name="requireRollingAverageWarmup">Specify true to force the population average scoring to warmup before plotting.</param>
public StatisticsInsightManagerExtension(
IAccountCurrencyProvider accountCurrencyProvider,
decimal tradablePercentOfVolume = 0.01m,
int period = 100,
bool requireRollingAverageWarmup = false)
{
Statistics = new AlphaRuntimeStatistics(accountCurrencyProvider);
_tradablePercentOfVolume = tradablePercentOfVolume;
_smoothingFactor = 2.0 / (period + 1.0);
// use normal ema warmup period
_rollingAverageIsReadyCount = period;
_requireRollingAverageWarmup = requireRollingAverageWarmup;
_kellyCriterionManager = new KellyCriterionManager();
}
public void ExtremeCasesBigNumbers(int extremeCase)
{
var extremePositive = new decimal[] { 1000, 2000, 3000, 1000, 5000, 1000, 1000 };
var extremeNegative = new decimal[] { -1000, -2000, -3000, -1000, -5000, -1000, -1000 };
decimal[] collection = extremeCase == 1 ? extremePositive : extremeNegative;
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in collection)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Assert.AreEqual(extremeCase == 1
? 0.00031578947368421 : -0.00031578947368421, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}
public void ExtremeCasesSmallNumbers(int extremeCase)
{
var extremePositive = new decimal[] { 1, 2, 3, 1, 5, 1, 1 };
var extremeNegative = new decimal[] { -1, -2, -3, -1, -5, -1, -1 };
decimal[] collection = extremeCase == 1 ? extremePositive : extremeNegative;
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in collection)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Log.Trace($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Assert.AreEqual(extremeCase == 1
? 0.315789473684211m : -0.315789473684211m, kellyCriterionManager.KellyCriterionEstimate);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}
public void MiddleCase()
{
// values sum up to 0 -> average will be 0
var middleCase = new decimal[] { 1000, -2000, -3000, 1000, 5000, -1000, -1000 };
var kellyCriterionManager = new KellyCriterionManager();
foreach (var newValue in middleCase)
{
kellyCriterionManager.AddNewValue(newValue, DateTime.UtcNow);
kellyCriterionManager.UpdateScores();
}
var estimate = kellyCriterionManager.KellyCriterionEstimate;
var probabilityValue = kellyCriterionManager.KellyCriterionProbabilityValue;
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
Console.WriteLine($"Estimate {estimate} - ProbabilityValue {probabilityValue}");
// compare with a delta
Assert.Less(Math.Abs(0 - kellyCriterionManager.KellyCriterionEstimate), 0.000000000000001m);
Assert.AreEqual(1, kellyCriterionManager.KellyCriterionProbabilityValue);
}