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Sean
2025-03-25 21:42:32 -04:00
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commit 30c33d3cfd
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MarketData/MarketDataLib/Numerics/SharpeRatioGenerator.cs Executable file
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using MarketData.DataAccess;
using MarketData.MarketDataModel;
using MarketData.Utils;
using MarketData.Numerical;
namespace MarketData.Numerical
{
public class SharpeRatioGenerator
{
private SharpeRatioGenerator()
{
}
public static double GenerateSharpeRatio(String symbol, DateTime startDate, int months = 12)
{
try
{
DateGenerator dateGenerator = new DateGenerator();
Prices prices = Prices.GetMonthlyPrices(symbol, startDate, months);
if (null == prices || 0 == prices.Count) return double.NaN;
double riskFreeRate = YieldCurveDA.GetRiskFreeRate(dateGenerator.GetCurrMonthStart(prices[0].Date)) / 100.00;
float[] returns = prices.GetReturns();
double averageReturn = Numerics.Mean(ref returns);
double riskPremium = averageReturn - riskFreeRate;
double volatility = Numerics.Volatility(ref returns);
double sharpeRatio = (averageReturn - riskFreeRate) / volatility;
return sharpeRatio;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG,String.Format("Exception:{0}",exception.ToString()));
return double.NaN;
}
}
public static PortfolioHoldingWithSharpeRatio GenerateSharpeRatio(PortfolioHoldingWithSharpeRatio portfolioHoldingWithSharpeRatio, DateTime startDate, int months = 12)
{
try
{
DateGenerator dateGenerator = new DateGenerator();
Prices prices = Prices.GetMonthlyPrices(portfolioHoldingWithSharpeRatio.Symbol, startDate, months);
if (null == prices || 0 == prices.Count)
{
portfolioHoldingWithSharpeRatio.SharpeRatio = double.NaN;
portfolioHoldingWithSharpeRatio.AverageReturn = double.NaN;
portfolioHoldingWithSharpeRatio.RiskPremium = double.NaN;
portfolioHoldingWithSharpeRatio.Volatility = double.NaN;
return portfolioHoldingWithSharpeRatio;
}
double riskFreeRate = YieldCurveDA.GetRiskFreeRate(dateGenerator.GetCurrMonthStart(prices[0].Date)) / 100.00;
float[] returns = prices.GetReturns();
double averageReturn = Numerics.Mean(ref returns);
double riskPremium = averageReturn - riskFreeRate;
double volatility = Numerics.Volatility(ref returns);
double sharpeRatio = (averageReturn - riskFreeRate) / volatility;
portfolioHoldingWithSharpeRatio.SharpeRatio = sharpeRatio;
portfolioHoldingWithSharpeRatio.AverageReturn = averageReturn;
portfolioHoldingWithSharpeRatio.RiskPremium = riskPremium;
portfolioHoldingWithSharpeRatio.Volatility = volatility;
return portfolioHoldingWithSharpeRatio;
}
catch (Exception exception)
{
MDTrace.WriteLine(LogLevel.DEBUG, String.Format("Exception:{0}", exception.ToString()));
portfolioHoldingWithSharpeRatio.SharpeRatio = double.NaN;
portfolioHoldingWithSharpeRatio.AverageReturn = double.NaN;
portfolioHoldingWithSharpeRatio.RiskPremium = double.NaN;
portfolioHoldingWithSharpeRatio.Volatility = double.NaN;
return portfolioHoldingWithSharpeRatio;
}
}
}
}