Initial Commit

Books/Code/Momentum/ScoreIndicator.cs

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+using System;
+using System.Collections.Generic;
+using System.Text;
+using MarketData.MarketDataModel;
+using MarketData.DataAccess;
+using MarketData.Numerical;
+using MarketData.Utils;
+using System.Linq;
+using MarketData.Helper;
+
+namespace MarketData.Generator.Momentum
+{
+  public class ScoreIndicator
+  {
+    private ScoreIndicator()
+    {
+    }
+// This uses the same scoring mechanism as is used in Clenow Momentum which is based upon the log of returns.
+// The higher the score the better the rank.  The logPrices array gets filled with the most distant price in the lower indices.  Hence the backward walk through the prices.  
+    public static double Calculate(Prices prices)
+    {
+      double score=double.NaN;
+      if(null==prices || 0==prices.Count)return double.NaN;
+      double[] logPrices=new double[prices.Count];
+      for(int index=prices.Count-1;index>=0;index--)
+      {
+        Price price=prices[index];
+        logPrices[(prices.Count-index)-1]=Math.Log(price.Close);
+      }
+      LeastSquaresResultWithR2 leastSquaresResult=LeastSquaresHelper.CalculateLeastSquaresWithR2(logPrices);
+      double slope=leastSquaresResult.Slope;
+      double annualizedReturn=Math.Pow(Math.Exp(slope),252);
+      if(slope<0.00)annualizedReturn*=-1.00;
+      score=leastSquaresResult.RSquared*annualizedReturn;
+      return score;
+    }                                                                     
+  }
+}
+