public static double Calculate(IEnumerable<double> returns, IEnumerable<double> signals, double transactionCost, out OnlineCalculatorError errorState) {
IEnumerator<double> returnsEnumerator = returns.GetEnumerator();
IEnumerator<double> signalsEnumerator = signals.GetEnumerator();
OnlineSharpeRatioCalculator calculator = new OnlineSharpeRatioCalculator(transactionCost);
// always move forward both enumerators (do not use short-circuit evaluation!)
while (returnsEnumerator.MoveNext() & signalsEnumerator.MoveNext()) {
double signal = signalsEnumerator.Current;
double @return = returnsEnumerator.Current;
calculator.Add(@return, signal);
}
// 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.");
} else {
errorState = calculator.ErrorState;
return calculator.SharpeRatio;
}
}
