/// <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
}
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)
}
//= "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)
}