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35 lines
962 B
Go
35 lines
962 B
Go
package statistics
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import (
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"math"
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"github.com/c9s/bbgo/pkg/types"
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)
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// Sharpe: Calcluates the sharpe ratio of access returns
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//
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// @param periods (int): Freq. of returns (252/365 for daily, 12 for monthy)
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// @param annualize (bool): return annualize sharpe?
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// @param smart (bool): return smart sharpe ratio
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func Sharpe(returns types.Series, periods int, annualize bool, smart bool) float64 {
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data := returns
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num := data.Length()
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if types.Lowest(data, num) >= 0 && types.Highest(data, num) > 1 {
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data = types.PercentageChange(returns)
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}
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divisor := types.Stdev(data, data.Length(), 1)
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if smart {
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sum := 0.
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coef := math.Abs(types.Correlation(data, types.Shift(data, 1), num-1))
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for i := 1; i < num; i++ {
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sum += float64(num-i) / float64(num) * math.Pow(coef, float64(i))
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}
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divisor = divisor * math.Sqrt(1.+2.*sum)
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}
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result := types.Mean(data) / divisor
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if annualize {
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return result * math.Sqrt(float64(periods))
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}
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return result
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}
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