29 lines
737 B
Go
29 lines
737 B
Go
package types
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// Determines the Omega ratio of a strategy
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// See https://en.wikipedia.org/wiki/Omega_ratio for more details
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//
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// @param returns (Series): Series of profit/loss percentage every specific interval
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// @param returnThresholds(float64): threshold for returns filtering
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// @return Omega ratio for give return series and threshold
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func Omega(returns Series, returnThresholds ...float64) float64 {
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threshold := 0.0
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if len(returnThresholds) > 0 {
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threshold = returnThresholds[0]
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} else {
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threshold = Mean(returns)
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}
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length := returns.Length()
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win := 0.0
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loss := 0.0
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for i := 0; i < length; i++ {
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out := threshold - returns.Last(i)
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if out > 0 {
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win += out
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} else {
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loss -= out
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}
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}
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return win / loss
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}
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