/// <summary>
/// BernardoLedoitRatio：take the sum of the subset of
/// returns that are above 0 and we divide it by the opposite of the sum of
/// the subset of returns that are below 0
/// （正收益率汇总/负收益率汇总；粗略描述胜败比率的总体水平，但注意，负收益率的力量更大，不能满足于1）
/// </summary>
func BernardoLedoitRatio(Ra *utils.SlidingWindow) (float64, error) {
positivevalues, negativevalues, err := utils.PosNegValues(Ra)
if err != nil {
return math.NaN(), err
}
return -positivevalues.Sum() / negativevalues.Sum(), 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
}
