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
}
}
/// <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
}
}