/
IndicatorsPerformance.cs
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/
IndicatorsPerformance.cs
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//==============================================================================
// Project: TuringTrader, simulator core
// Name: IndicatorsPerformance
// Description: collection of performance indicators
// History: 2018xii10, FUB, created
//------------------------------------------------------------------------------
// Copyright: (c) 2011-2023, Bertram Enterprises LLC dba TuringTrader.
// https://www.turingtrader.org
// License: This file is part of TuringTrader, an open-source backtesting
// engine/ trading simulator.
// TuringTrader is free software: you can redistribute it and/or
// modify it under the terms of the GNU Affero General Public
// License as published by the Free Software Foundation, either
// version 3 of the License, or (at your option) any later version.
// TuringTrader is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.See the
// GNU Affero General Public License for more details.
// You should have received a copy of the GNU Affero General Public
// License along with TuringTrader. If not, see
// https://www.gnu.org/licenses/agpl-3.0.
//==============================================================================
#region libraries
using System;
using System.Runtime.CompilerServices;
using TuringTrader.Simulator;
#endregion
namespace TuringTrader.Indicators
{
/// <summary>
/// Collection of performance indicators
/// </summary>
public static class IndicatorsPerformance
{
#region public static ITimeSeries<double> SharpeRatio(this ITimeSeries<double> series, ITimeSeries<double> riskFreeRate, int n)
/// <summary>
/// Calculate Sharpe Ratio, as described here:
/// <see href="https://en.wikipedia.org/wiki/Sharpe_ratio"/>
/// </summary>
/// <param name="series"></param>
/// <param name="riskFreeRate"></param>
/// <param name="n"></param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns></returns>
public static ITimeSeries<double> SharpeRatio(this ITimeSeries<double> series, ITimeSeries<double> riskFreeRate, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), riskFreeRate.GetHashCode(), n);
var excessReturn = series
.Return(cacheId)
.Subtract(riskFreeRate
.Return(cacheId),
cacheId);
return excessReturn
.EMA(n, cacheId)
.Divide(excessReturn
.FastStandardDeviation(n, cacheId)
.Max(IndicatorsBasic.Const(1e-10, cacheId), cacheId),
cacheId);
}
#endregion
#region public static ITimeSeries<double> Drawdown(this ITimeSeries<double> series, int n)
/// <summary>
/// Return current drawdown in percent, as value between 0 and 1.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>drawdown as time series</returns>
public static ITimeSeries<double> Drawdown(this ITimeSeries<double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
// TODO: rewrite this, using buffered lambda, see MaxDrawdown
return IndicatorsBasic.Const(1.0, cacheId)
.Subtract(
series
.Divide(
series
.Highest(n, cacheId),
cacheId),
cacheId);
}
#endregion
#region public static ITimeSeries<double> MaxDrawdown(this ITimeSeries<double> series, int n)
/// <summary>
/// Return maximum drawdown.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>maximum drawdown as time series</returns>
public static ITimeSeries<double> MaxDrawdown(this ITimeSeries<double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return IndicatorsBasic.BufferedLambda(
(p) =>
{
double highestHigh = 0.0;
double maxDrawdown = 0.0;
for (int t = n - 1; t >= 0; t--)
{
highestHigh = Math.Max(highestHigh, series[t]);
maxDrawdown = Math.Max(maxDrawdown, 1.0 - series[t] / highestHigh);
}
return maxDrawdown;
},
0.0,
cacheId);
}
#endregion
#region public static ITimeSeries<double> ReturnOnMaxDrawdown(this ITimeSeries<double> series, int n)
/// <summary>
/// Calculate return over maximum drawdown.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">length of observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>RoMaD</returns>
public static ITimeSeries<double> ReturnOnMaxDrawdown(this ITimeSeries<double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return IndicatorsBasic.BufferedLambda(
(p) =>
{
double ret = series[0] / series[n] - 1.0;
double dd = series.MaxDrawdown(n)[0];
return ret / Math.Max(1e-3, dd);
},
0.0,
cacheId);
}
#endregion
#region public static ITimeSeries<double> Runup(this ITimeSeries<double> series, int n)
/// <summary>
/// Return current n-day runup as a value between 0 and 1.
/// </summary>
/// <param name="series">input time series</param>
/// <param name="n">observation window</param>
/// <param name="parentId">caller cache id, optional</param>
/// <param name="memberName">caller's member name, optional</param>
/// <param name="lineNumber">caller line number, optional</param>
/// <returns>runup as time series</returns>
public static ITimeSeries<double> Runup(this ITimeSeries<double> series, int n,
CacheId parentId = null, [CallerMemberName] string memberName = "", [CallerLineNumber] int lineNumber = 0)
{
var cacheId = new CacheId(parentId, memberName, lineNumber,
series.GetHashCode(), n);
return IndicatorsBasic.BufferedLambda(
(p) =>
{
double lowestLow = 1e99;
for (int t = n - 1; t >= 0; t--)
{
lowestLow = Math.Min(lowestLow, series[t]);
}
var runup = series[0] / lowestLow - 1.0;
return runup;
},
0.0,
cacheId);
}
#endregion
}
}
//==============================================================================
// end of file