/// <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
}
/// <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
}
/// <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
}