Exemplo n.º 1
0
/// <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
}
Exemplo n.º 2
0
/// <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
}
Exemplo n.º 3
0
/// <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
}