// forecast_lr returns the number of seconds a linear regression predicts the
// series will take to reach y_val.
func (e *State) forecast_lr(dps Series, args ...float64) float64 {
const tenYears = time.Hour * 24 * 365 * 10
yVal := args[0]
var x []float64
var y []float64
for k, v := range dps {
x = append(x, float64(k.Unix()))
y = append(y, v)
}
var slope, intercept, _, _, _, _ = stats.LinearRegression(x, y)
it := (yVal - intercept) / slope
var i64 int64
if it < math.MinInt64 {
i64 = math.MinInt64
} else if it > math.MaxInt64 {
i64 = math.MaxInt64
} else if math.IsNaN(it) {
i64 = e.now.Unix()
} else {
i64 = int64(it)
}
t := time.Unix(i64, 0)
s := -e.now.Sub(t)
if s < -tenYears {
s = -tenYears
} else if s > tenYears {
s = tenYears
}
return s.Seconds()
}
func AlphaBeta(c MetricCalculator) (alpha, beta float64, err error) {
const (
AlphaKey = "Alpha"
BetaKey = "Beta"
)
var exist bool
alpha, exist = c.scalarCache[AlphaKey]
if !exist {
rb := c.BenchRatio()
rp := c.PortfolioRatio()
xRBench := make([]float64, len(rb))
xRPortfolio := make([]float64, len(rp))
periodRf := Rf / c.Period()
for i, p := range rb {
xRBench[i] = p - periodRf
}
for i, p := range rp {
xRPortfolio[i] = p - periodRf
}
beta, alpha, _, _, _, _ = stats.LinearRegression(rb, rp)
c.scalarCache[AlphaKey] = alpha
c.scalarCache[BetaKey] = beta
return
}
beta, exist = c.scalarCache[BetaKey]
if !exist {
err = errors.New(BetaKey + " absent, internal error!")
return
}
return
}
func Beta(Ra, Rb, Rf *utils.SlidingWindow) (float64, error) {
xRb, err := Excess(Rb, Rf)
if err != nil {
return math.NaN(), err
}
xRa, err := Excess(Ra, Rf)
if err != nil {
return math.NaN(), err
}
var slope, _, _, _, _, _ = stats.LinearRegression(xRb.Data(), xRa.Data())
return slope, nil
}
/// <summary>
/// 阿尔法
/// </summary>
/// <param name="Ra"></param>
/// <param name="Rb"></param>
/// <param name="Rf"></param>
/// <returns></returns>????
func Alpha(Ra, Rb, Rf *utils.SlidingWindow) (float64, error) {
xRb, err := Excess(Rb, Rf)
if err != nil {
return math.NaN(), err
}
xRa, err := Excess(Ra, Rf)
if err != nil {
return math.NaN(), err
}
var _, intercept, _, _, _, _ = stats.LinearRegression(xRb.Data(), xRa.Data())
return intercept, nil
}
// line_lr generates a series representing the line up to duration in the future.
func line_lr(dps Series, d time.Duration) Series {
var x []float64
var y []float64
sortedDPS := NewSortedSeries(dps)
var maxT time.Time
if len(sortedDPS) > 1 {
maxT = sortedDPS[len(sortedDPS)-1].T
}
for _, v := range sortedDPS {
xv := float64(v.T.Unix())
x = append(x, xv)
y = append(y, v.V)
}
var slope, intercept, _, _, _, _ = stats.LinearRegression(x, y)
s := make(Series)
// First point in the regression line
s[maxT] = float64(maxT.Unix())*slope + intercept
// Last point
last := maxT.Add(d)
s[last] = float64(last.Unix())*slope + intercept
return s
}
