/// <summary>
/// 偏度
/// </summary>
// default = "moment"
func Skewness(Ra *utils.SlidingWindow) (float64, error) {
if Ra == nil || Ra.Count() <= 2 {
return math.NaN(), errors.New("In Skewness, Ra == nil || Ra.Count() <= 2")
}
n := float64(Ra.Count())
method := "moment"
switch method {
//"moment", "fisher", "sample"
case "moment": //skewness = sum((x-mean(x))^3/sqrt(var(x)*(n-1)/n)^3)/length(x)
var_data, err := Variance(Ra)
if err != nil {
return math.NaN(), err
}
add_Sliding, err := utils.Add(-Ra.Average(), Ra)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(add_Sliding, 3.0)
if err != nil {
return math.NaN(), err
}
multi_Sliding, err := utils.Multi(1.0/math.Pow(var_data*(n-1.0)/n, 1.5), pow_Sliding)
if err != nil {
return math.NaN(), err
}
return multi_Sliding.Sum() / n, nil
default:
return math.NaN(), errors.New("In Skewness, method is default")
}
return math.NaN(), nil
}
func Beta2(Ra, Rb *utils.SlidingWindow, Rf float64) (float64, error) {
RfList, err := utils.CreateList(Rf, Ra.Count())
if err != nil {
return math.NaN(), err
}
return Beta(Ra, Rb, RfList)
}
/// <summary>
/// 峰度
/// </summary>
// = "sample"
func Kurtosis(Ra *utils.SlidingWindow) (float64, error) {
if Ra == nil || Ra.Count() <= 3 {
return math.NaN(), errors.New("In Kurtosis, Ra == nil || Ra.Count() <= 3")
}
n := float64(Ra.Count())
method := "sample_excess"
switch method {
case "sample_excess": //kurtosis = sum((x-mean(x))^4/var(x)^2)*n*(n+1)/((n-1)*(n-2)*(n-3)) - 3*(n-1)^2/((n-2)*(n-3))
var_data, err := Variance(Ra)
if err != nil {
return math.NaN(), err
}
add_Sliding, err := utils.Add(-Ra.Average(), Ra)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(add_Sliding, 4.0)
if err != nil {
return math.NaN(), err
}
multi_Sliding, err := utils.Multi(1.0/math.Pow(var_data, 2.0), pow_Sliding)
if err != nil {
return math.NaN(), err
}
return multi_Sliding.Sum()*n*(n+1.0)/((n-1.0)*(n-2.0)*(n-3.0)) - 3*(n-1.0)*(n-1.0)/((n-2.0)*(n-3.0)), nil
default:
return math.NaN(), errors.New("In Kurtosis, method is default")
}
return math.NaN(), nil
}
/// <summary>
/// To calculate Burke ratio we take the difference between the portfolio
/// return and the risk free rate and we divide it by the square root of the
/// sum of the square of the drawdowns. To calculate the modified Burke ratio
/// we just multiply the Burke ratio by the square root of the number of datas.
/// （一种调整收益率的计算方式，调整是通过drawdown的平方和进行的）
/// </summary>
func BurkeRatio(Ra *utils.SlidingWindow, Rf float64, scale float64) (float64, error) {
var len = Ra.Count()
var in_drawdown = false
var peak = 1
var temp = 0.0
drawdown, err := utils.NewSlidingWindow(len)
if err != nil {
return math.NaN(), err
}
for i := 1; i < len; i++ {
if Ra.Data()[i] < 0 {
if !in_drawdown {
peak = i - 1
in_drawdown = true
}
} else {
if in_drawdown {
temp = 1.0
for j := peak + 1; j < i; j++ {
temp = temp * (1.0 + Ra.Data()[j])
}
drawdown.Add(temp - 1.0) //Source
in_drawdown = false
}
}
}
if in_drawdown {
temp = 1.0
for j := peak + 1; j < len; j++ {
temp = temp * (1.0 + Ra.Data()[j])
}
drawdown.Add(temp - 1.0) //Source
//drawdown.Add((temp - 1.0) * 100.0)
in_drawdown = false
}
//var Rp = Annualized(Ra, scale, true) - 1.0--->Source
Rp, err := Annualized(Ra, scale, true)
if err != nil {
return math.NaN(), err
}
var result float64
if drawdown.Count() != 0 {
pow_Sliding, err := utils.Power(drawdown, 2)
if err != nil {
return math.NaN(), err
}
Rf = Rf * scale
result = (Rp - Rf) / math.Sqrt(pow_Sliding.Sum())
} else {
result = 0
}
modified := true
if modified {
result = result * math.Sqrt(float64(len))
}
return result, nil
}
//= "full"
// = false
func DownsideDeviation2(Ra *utils.SlidingWindow, MAR float64) (float64, error) {
if Ra == nil || Ra.Count() <= 0 {
return math.NaN(), errors.New("In DownsideDeviation2, Ra == nil || Ra.Count() <= 0")
}
newMAR, _ := utils.CreateList(MAR, Ra.Count())
return DownsideDeviation(Ra, newMAR)
}
/// <summary>
/// Upside Potential Ratio,compared to Sortino, was a further improvement, extending the
/// measurement of only upside on the numerator, and only downside of the
/// denominator of the ratio equation.
/// （分子只考虑超过MAR部分，分母只考虑DownsideDeviation的下跌风险）
/// </summary>
func UpsidePotentialRatio(Ra *utils.SlidingWindow, MAR float64) (float64, error) {
//var r = Ra.Where<float64>(singleData => singleData > MAR).ToList<float64>();
r, err := utils.AboveValue(Ra, MAR)
if err != nil {
return math.NaN(), err
}
var length int
method := "subset"
switch method {
case "full":
length = Ra.Count()
break
case "subset":
length = r.Count()
break
default:
return math.NaN(), errors.New("In UpsidePotentialRatio, method is default !!!")
}
add_Sliding, err := utils.Add(-MAR, r)
if err != nil {
return math.NaN(), err
}
dd2Data, err := DownsideDeviation2(Ra, MAR)
if err != nil {
return math.NaN(), err
}
var result = (add_Sliding.Sum() / float64(length)) / dd2Data
return result, nil
}
/// <summary>
/// calculate a traditional or modified Sharpe Ratio of Return over StdDev or
/// VaR or ES
///
/// The Sharpe ratio is simply the return per unit of risk (represented by
/// variability). In the classic case, the unit of risk is the standard
/// deviation of the returns.
/// </summary>
func SharpeRatio(Ra *utils.SlidingWindow, Rf_val float64, scale float64) (float64, error) {
Rf, err := utils.CreateList(Rf_val, Ra.Count())
if err != nil {
return math.NaN(), err
}
xR, err := Excess(Ra, Rf)
if err != nil {
return math.NaN(), err
}
numerator := 0.0
denominator := 0.0
annualize := 1
if annualize == 1 {
denominator, err = StdDev_Annualized(Ra, scale)
if err != nil {
return math.NaN(), err
}
numerator, err = Annualized(xR, scale, true)
if err != nil {
return math.NaN(), err
}
} else {
denominator, err = StdDev(Ra)
if err != nil {
return math.NaN(), err
}
numerator = xR.Average()
}
return numerator / denominator, nil
}
/// <summary>
/// subset of returns that are
/// more than the target (or Minimum Acceptable Returns (MAR)) returns and
/// divide the length of this subset by the total number of returns.
/// （超过MAR的频率）
/// </summary>
func UpsideFrequency(Ra *utils.SlidingWindow, MAR float64) (float64, error) {
aboveMAR, err := utils.AboveValue(Ra, MAR)
if err != nil {
return math.NaN(), err
}
return float64(aboveMAR.Count()) / float64(Ra.Count()), nil
}
/// <summary>
/// To calculate Mean absolute deviation we take
/// the sum of the absolute value of the difference between the returns and the mean of the returns
/// and we divide it by the number of returns.
/// （描述收益率偏离均值得一个指标）
/// </summary>
func MeanAbsoluteDeviation(Ra *utils.SlidingWindow) (float64, error) {
if Ra.Count() <= 0 {
return math.NaN(), errors.New("In MeanAbsoluteDeviation, Ra.Count() <= 0")
}
add_Sliding, _ := utils.Add(-Ra.Average(), Ra)
ads_Sliding, _ := utils.Abs(add_Sliding)
return ads_Sliding.Sum() / float64(Ra.Count()), nil
}
/// <summary>
/// 收益率序列的几何均值，非年化
/// </summary>
func MeanGeometric(Ra *utils.SlidingWindow) (float64, error) {
if Ra.Count() <= 0 {
return math.NaN(), errors.New("In MeanGeometric, Ra.Count() <= 0")
}
add_Sliding, _ := utils.Add(1, Ra)
log_Sliding, _ := utils.Log(add_Sliding)
return math.Exp(log_Sliding.Average()) - 1.0, nil
}
/// <summary>
/// downside risk (deviation, variance) of the return distribution
/// Downside deviation, semideviation, and semivariance are measures of downside
/// risk.
/// </summary>
// = "full"
// = false
//func DownsideDeviation(Ra *utils.SlidingWindow, MAR *utils.SlidingWindow, method string, potential bool) float64 {
func DownsideDeviation(Ra *utils.SlidingWindow, MAR *utils.SlidingWindow) (float64, error) {
if Ra == nil {
return math.NaN(), errors.New("In DownsideDeviation, Ra == nil")
}
if Ra.Count() <= 0 {
return math.NaN(), errors.New("In DownsideDeviation, Ra.Count() <= 0")
}
r, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
newMAR, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
len := 0.0
result := 0.0
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] < MAR.Data()[i] {
r.Add(Ra.Data()[i])
newMAR.Add(MAR.Data()[i])
}
}
potential := false
method := "subset"
if method == "full" {
len = float64(Ra.Count())
} else if method == "subset" {
len = float64(r.Count())
} else {
return math.NaN(), errors.New("In DownsideDeviation, method default !!!")
}
if newMAR.Count() <= 0 || r.Count() <= 0 || len <= 0 {
return math.NaN(), errors.New("In DownsideDeviation, newMAR.Count() <= 0 || r.Count() <= 0 || len <= 0")
}
if potential {
sub_Sliding, err := utils.Sub(newMAR, r)
if err != nil {
return math.NaN(), err
}
result = sub_Sliding.Sum() / len
} else {
sub_Sliding, err := utils.Sub(newMAR, r)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(sub_Sliding, 2.0)
if err != nil {
return math.NaN(), err
}
result = math.Sqrt(pow_Sliding.Sum() / len)
}
return result, nil
}
/// <param name="returns"></param>
/// <returns></returns>
func Centered(returns *utils.SlidingWindow) (*utils.SlidingWindow, error) {
if returns == nil {
return nil, errors.New("Centered Sliding window is nil")
}
if returns.Count() == 0 {
return nil, errors.New("Centered Count is Zero !!!")
}
return utils.Add(-returns.Average(), returns)
}
func Excess(returns, Rf *utils.SlidingWindow) (*utils.SlidingWindow, error) {
result, err := utils.NewSlidingWindow(returns.Count())
if err != nil {
return nil, err
}
for i := 0; i < returns.Count(); i++ {
result.Add(returns.Data()[i] - Rf.Data()[i])
}
return result, nil
}
/// <summary>
/// Fama beta is a beta used to calculate the loss of diversification. It is made
/// so that the systematic risk is equivalent to the total portfolio risk.
/// </summary>
func FamaBeta(Ra *utils.SlidingWindow, Rb *utils.SlidingWindow, Ra_sclae float64, Rb_scale float64) (float64, error) {
var n1 = Ra.Count()
var n2 = Rb.Count()
var_Ra, err := Variance(Ra)
if err != nil {
return math.NaN(), err
}
var_Rb, err := Variance(Rb)
if err != nil {
return math.NaN(), err
}
var result = math.Sqrt(var_Ra*float64(n1-1)/float64(n1)) * math.Sqrt(float64(Ra_sclae)) / (math.Sqrt(var_Rb*float64(n2-1)/float64(n2)) * math.Sqrt(float64(Rb_scale)))
return result, nil
}
/// <param name="Ra"></param>
/// <param name="Rb"></param>
/// <returns></returns>
func Relative(Ra, Rb *utils.SlidingWindow) (*utils.SlidingWindow, error) {
res4Ra := 1.0
res4Rb := 1.0
result, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return nil, err
}
for i := 0; i < Ra.Count(); i++ {
res4Ra = res4Ra * (1 + Ra.Data()[i])
res4Rb = res4Rb * (1 + Rb.Data()[i])
result.Add(res4Ra / res4Rb)
}
return result, nil
}
/// <summary>
/// Prospect ratio is a ratio used to penalise loss since most people feel loss
/// greater than gain
/// （经验类型调整收益率，给损失赋予更大的权重）
/// </summary>
func ProspectRatio(Ra *utils.SlidingWindow, MAR float64) (float64, error) {
var n = Ra.Count()
SigD, err := DownsideDeviation2(Ra, MAR)
if err != nil {
return math.NaN(), err
}
positivevalues, negativevalues, err := utils.PosNegValues(Ra)
if err != nil {
return math.NaN(), err
}
var result = ((positivevalues.Sum()+2.25*negativevalues.Sum())/float64(n) - MAR) / SigD
return result, nil
}
func PainRatio(Ra *utils.SlidingWindow, Rf float64, scale float64) (float64, error) {
PI, err := PainIndex(Ra)
if err != nil {
return math.NaN(), err
}
n := Ra.Count()
add_Sliding, err := utils.Add(1.0, Ra)
if err != nil {
return math.NaN(), err
}
prod_Sliding, err := utils.Prod(add_Sliding)
if err != nil {
return math.NaN(), err
}
Rp := math.Pow(prod_Sliding, float64(scale)/float64(n)) - 1.0
Rf = Rf * scale
return (Rp - Rf) / PI, nil
}
/// <param name="returns"></param>
/// <param name="geometric"></param>
/// <returns></returns>
func Cumulative(returns *utils.SlidingWindow, geometric bool) (float64, error) {
if returns == nil {
return math.NaN(), errors.New("Cumulative Sliding window is Nil !!!")
}
if returns.Count() == 0 {
return math.NaN(), errors.New("Cumulative Count == 0 !!")
}
if !geometric {
return (returns.Sum()), nil
} else {
add_data, err := utils.Add(1.0, returns)
if err != nil {
return math.NaN(), err
}
prod_data, err := utils.Prod(add_data)
if err != nil {
return math.NaN(), err
}
return (prod_data - 1.0), nil
}
}
/// <summary>
/// Kappa is a generalized downside risk-adjusted performance measure.
/// To calculate it, we take the difference of the mean of the distribution
/// to the target and we divide it by the l-root of the lth lower partial
/// moment. To calculate the lth lower partial moment we take the subset of
/// returns below the target and we sum the differences of the target to
/// these returns. We then return return this sum divided by the length of
/// the whole distribution.
/// （非年化的超MAR平均收益率通过l阶根的低于MAR的收益率序列的l阶矩）
/// </summary>
func Kappa(Ra *utils.SlidingWindow, MAR float64, l float64) (float64, error) {
undervalues, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] < MAR {
undervalues.Add(Ra.Data()[i])
}
}
var n = float64(Ra.Count())
var m = float64(Ra.Average())
neg_Sliding, err := utils.Negative(undervalues)
if err != nil {
return math.NaN(), err
}
add_Sliding, err := utils.Add(MAR, neg_Sliding)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(add_Sliding, float64(l))
if err != nil {
return math.NaN(), err
}
var temp = pow_Sliding.Sum() / n
return (m - MAR) / math.Pow(temp, (1.0/float64(l))), nil
}
/// <param name="returns"></param>
/// <param name="scale"></param>
/// <param name="geometric"></param>
/// <returns></returns>
func Annualized(returns *utils.SlidingWindow, scale float64, geometric bool) (float64, error) {
if returns == nil {
return math.NaN(), errors.New("Returns Utils Sliding Window is nil")
}
if returns.Count() == 0 {
return math.NaN(), errors.New("Returns Windows content is Zero")
}
n := returns.Count()
if geometric {
add_Sliding, err := utils.Add(1.0, returns)
if err != nil {
return math.NaN(), err
}
prod_Data, err := utils.Prod(add_Sliding)
if err != nil {
return math.NaN(), err
}
return math.Pow(prod_Data, float64(scale)/float64(n)) - 1.0, nil
} else {
return returns.Average() * float64(scale), nil
}
}
/// <summary>
/// M squared is a risk adjusted return useful to judge the size of relative
/// performance between differents portfolios. With it you can compare portfolios
/// with different levels of risk.
/// （使得不同组合的收益率可比的调整措施）
/// </summary>
func MSquared(Ra *utils.SlidingWindow, Rb *utils.SlidingWindow, scale float64, Rf float64) (float64, error) {
var n = Ra.Count()
Rp, err := Annualized(Ra, scale, true)
if err != nil {
return math.NaN(), err
}
var_Ra_data, err := Variance(Ra)
if err != nil {
return math.NaN(), err
}
sigp := math.Sqrt(var_Ra_data*float64(n-1)/float64(n)) * math.Sqrt(float64(scale))
if err != nil {
return math.NaN(), err
}
var_Rb_data, err := Variance(Rb)
if err != nil {
return math.NaN(), err
}
var sigm = math.Sqrt(var_Rb_data*float64(n-1)/float64(n)) * math.Sqrt(float64(scale))
//var result = (Rp-Rf)*sigp/sigm + Rf//Source
Rf = Rf * scale
var result = (Rp-Rf)*sigm/sigp + Rf
return result, nil
}
/// <summary>
/// 方差
/// </summary>
func Variance(Ra *utils.SlidingWindow) (float64, error) {
if Ra == nil || Ra.Count() <= 1 {
return math.NaN(), errors.New("In Variance, Ra == nil || Ra.Count() <= 1")
}
result := 0.0
mean := Ra.Average()
for i := 0; i < Ra.Count(); i++ {
result += (Ra.Data()[i] - mean) * (Ra.Data()[i] - mean)
}
return result / (float64)(Ra.Count()-1), nil
}
/// <param name="prices"></param>
/// <param name="method"></param>
/// <returns></returns>
func Calculate(prices *utils.SlidingWindow, method string) (*utils.SlidingWindow, error) {
if prices == nil {
return nil, errors.New("Prices Utils Sliding Window is nil")
}
if prices.Count() == 0 {
return nil, errors.New("Returns Windows content is Zero")
}
lastPrice := prices.First()
returns, err := utils.NewSlidingWindow(prices.Count())
if err != nil {
return nil, errors.New("create a Sliding Window is Error !!")
}
switch method {
case "simple":
case "discrete":
for i := 0; i < prices.Count(); i++ {
price := prices.Data()[i]
if lastPrice != 0.0 {
returns.Add(price/lastPrice - 1.0)
} else {
returns.Add(0.0)
}
lastPrice = price
}
case "compound":
case "log":
for i := 0; i < prices.Count(); i++ {
price := prices.Data()[i]
if lastPrice != 0.0 {
returns.Add(math.Log(price / lastPrice))
} else {
returns.Add(0.0)
}
lastPrice = price
}
default:
return nil, errors.New("The input Method is nil !!!")
}
return returns, nil
}
/// <summary>
/// d ratio of the return distribution
/// The d ratio is similar to the Bernado Ledoit ratio but inverted and
/// taking into account the frequency of positive and negative returns.
/// </summary>
func DRatio(Ra *utils.SlidingWindow) (float64, error) {
if Ra == nil {
return math.NaN(), errors.New("In DRatio, Ra == nil")
}
if Ra.Count() <= 0 {
return math.NaN(), errors.New("In DRatio, Ra.Count() <= 0")
}
upList, _ := utils.NewSlidingWindow(Ra.Count())
downList, _ := utils.NewSlidingWindow(Ra.Count())
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] < 0 {
downList.Add(Ra.Data()[i])
} else if Ra.Data()[i] > 0 {
upList.Add(Ra.Data()[i])
}
}
return -(downList.Sum() * float64(downList.Count())) / (float64(upList.Sum()) * float64(upList.Count())), nil
}
/// <summary>
/// downside frequency of the return distribution
/// To calculate Downside Frequency, we take the subset of returns that are
/// less than the target (or Minimum Acceptable Returns (MAR)) returns and
/// divide the length of this subset by the total number of returns.
/// </summary>
func DownsideFrequency(Ra *utils.SlidingWindow, MAR *utils.SlidingWindow) (float64, error) {
if Ra == nil {
return math.NaN(), errors.New("In DownsideFrequency, Ra == nil")
}
if Ra.Count() <= 0 {
return math.NaN(), errors.New("In DownsideFrequency, Ra.Count() <= 0")
}
len := 0.0
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] < MAR.Data()[i] {
len++
}
}
return len / float64(Ra.Count()), nil
}
/// <summary>
/// Upside Risk is the similar of semideviation taking the return above the
/// Minimum Acceptable Return instead of using the mean return or zero.
/// （一般来说，非对称类的比较，单求此统计量意义有限）
/// </summary>
func UpsideRisk(Ra *utils.SlidingWindow, MAR float64, stat string) (float64, error) {
r, err := utils.AboveValue(Ra, MAR)
if err != nil {
return math.NaN(), err
}
var length float64
method := "subset"
switch method {
case "full":
length = float64(Ra.Count())
break
case "subset":
length = float64(r.Count())
break
default:
return math.NaN(), errors.New("In Upside Risk, method is default !!!")
}
if length <= 0 {
return 0, nil
}
var result float64
switch stat {
case "risk":
add_Sliding, err := utils.Add(-MAR, r)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(add_Sliding, 2.0)
if err != nil {
return math.NaN(), err
}
multi_Sliding, err := utils.Multi(1.0/length, pow_Sliding)
if err != nil {
return math.NaN(), err
}
result = math.Sqrt(multi_Sliding.Sum())
break
case "variance":
add_Sliding, err := utils.Add(-MAR, r)
if err != nil {
return math.NaN(), err
}
pow_Sliding, err := utils.Power(add_Sliding, 2.0)
if err != nil {
return math.NaN(), err
}
multi_Sliding, err := utils.Multi(1.0/length, pow_Sliding)
if err != nil {
return math.NaN(), err
}
result = multi_Sliding.Sum()
break
case "potential":
add_Sliding, err := utils.Add(-MAR, r)
if err != nil {
return math.NaN(), err
}
multi_Slding, err := utils.Multi(1.0/length, add_Sliding)
if err != nil {
return math.NaN(), err
}
result = multi_Slding.Sum()
break
default:
return math.NaN(), errors.New("In UpSide Risk, method is default !!!")
}
return result, nil
}
/// <summary>
/// 只测试了默认参数
/// Calculate metrics on how the asset in R performed in up and down markets,
/// measured by periods when the benchmark asset was up or down.
/// Up (Down) Capture Ratio: this is a measure of an investment's compound
/// return when the benchmark was up (down) divided by the benchmark's compound
/// return when the benchmark was up (down). The greater (lower) the value, the
/// better.(Up越大越好，Down越小越好)
///
/// Up (Down) Number Ratio: similarly, this is a measure of the number of
/// periods that the investment was up (down) when the benchmark was up (down),
/// divided by the number of periods that the Benchmark was up (down).(Up越大越好，Down越小越好)
///
/// Up (Down) Percentage Ratio: this is a measure of the number of periods that
/// the investment outperformed the benchmark when the benchmark was up (down),
/// divided by the number of periods that the benchmark was up (down). Unlike
/// the prior two metrics, in both cases a higher value is better.(Up、Down均为越大越好)
/// （当市场涨跌时，组合收益率涨跌所占比率，）
/// </summary>
func UpDownRatios(Ra *utils.SlidingWindow, Rb *utils.SlidingWindow) (float64, error) {
var cumRa = 0.0
var cumRb = 0.0
var result = 0.0
method := "Capture"
side := "Up"
switch method {
case "Capture":
switch side {
case "Up":
UpRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
UpRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] > 0 {
UpRa.Add(Ra.Data()[i])
UpRb.Add(Rb.Data()[i])
}
}
cumRa = UpRa.Sum()
cumRb = UpRb.Sum()
result = cumRa / cumRb
return result, nil
case "Down":
DnRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
DnRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] <= 0 {
DnRa.Add(Ra.Data()[i])
DnRb.Add(Rb.Data()[i])
}
}
cumRa = DnRa.Sum()
cumRb = DnRb.Sum()
result = cumRa / cumRb
return result, nil
default:
return math.NaN(), errors.New("In UpDownRatios, method Default!!")
}
case "Number":
switch side {
case "Up":
UpRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
UpRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] > 0 && Rb.Data()[i] > 0 {
UpRa.Add(Ra.Data()[i])
}
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] > 0 {
UpRb.Add(Rb.Data()[i])
}
}
cumRa = float64(UpRa.Count())
cumRb = float64(UpRb.Count())
result = cumRa / cumRb
return result, nil
case "Down":
DnRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
DnRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] < 0 && Rb.Data()[i] < 0 {
DnRa.Add(Ra.Data()[i])
}
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] < 0 {
DnRb.Add(Rb.Data()[i])
}
}
cumRa = float64(DnRa.Count())
cumRb = float64(DnRb.Count())
result = cumRa / cumRb
return result, nil
default:
return math.NaN(), errors.New("In UpDownRatios, method default 2 error !!!")
}
case "Percent":
switch side {
case "Up":
UpRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
UpRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] > Rb.Data()[i] && Rb.Data()[i] > 0 {
UpRa.Add(Ra.Data()[i])
}
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] > 0 {
UpRb.Add(Rb.Data()[i])
}
}
cumRa = float64(UpRa.Count())
cumRb = float64(UpRb.Count())
result = cumRa / cumRb
return result, nil
case "Down":
DnRa, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
DnRb, err := utils.NewSlidingWindow(Ra.Count())
if err != nil {
return math.NaN(), err
}
for i := 0; i < Ra.Count(); i++ {
if Ra.Data()[i] > Rb.Data()[i] && Rb.Data()[i] < 0 {
DnRa.Add(Ra.Data()[i])
}
}
for i := 0; i < Ra.Count(); i++ {
if Rb.Data()[i] < 0 {
DnRb.Add(Rb.Data()[i])
}
}
cumRa = float64(DnRa.Count())
cumRb = float64(DnRb.Count())
result = cumRa / cumRb
return result, nil
default:
return math.NaN(), errors.New("In UpDownRatios, method default 3 is Error !!!")
}
default:
return math.NaN(), errors.New("In UpDownRatios, method default 4 is Error !!!")
}
return math.NaN(), nil
}