Examples with ReturnsStat ts.TimeSeries.ReturnsStat used on opensource projects

Example 1 with ReturnsStat

use of ts.TimeSeries.ReturnsStat in project suite by stupidsing.

the class WalkForwardAllocTester method conclusion.

public String conclusion() {
    float[] valuations_ = valuations.toFloats().toArray();
    int length = valuations_.length;
    double deltaMs = (start - System.currentTimeMillis()) / length;
    ReturnsStat rs = ts.returnsStat(valuations_, deltaMs);
    StringBuilder sb = new StringBuilder();
    for (Pair<String, Double> e : Read.from2(holdBySymbol).sortBy((symbol, value) -> -value).take(5)) sb.append(e.t0 + ":" + String.format("%.0f", e.t1 * 100d / length) + "%,");
    return // 
    "nTicks:" + length + " val:" + // 
    (0 < length ? valuations_[length - 1] : "N/A") + " tickRtn:" + // 
    To.string(rs.return_) + " sharpe:" + // 
    To.string(rs.sharpeRatio()) + " skew:" + // 
    To.string(stat.skewness(valuations_)) + " " + // 
    account.transactionSummary(cfg::transactionFee).out0() + " holds::" + sb + "...";
}

Example 2 with ReturnsStat

use of ts.TimeSeries.ReturnsStat in project suite by stupidsing.

the class MovingAvgMeanReversionBackAllocator method backAllocator.

public BackAllocator backAllocator() {
    return (akds, indices) -> {
        Map<String, DataSource> dsBySymbol = akds.dsByKey.toMap();
        double dailyRiskFreeInterestRate = Trade_.riskFreeInterestRate(1);
        DataSourceView<String, MeanReversionStat> dsv = // 
        DataSourceView.of(tor, 256, akds, (symbol, ds, period) -> new MeanReversionStat(ds, period));
        return index -> {
            Map<String, MeanReversionStat> mrsBySymbol = // 
            akds.dsByKey.map2(// 
            (symbol, ds) -> dsv.get(symbol, index)).filterValue(// 
            mrsReversionStat -> mrsReversionStat != null).toMap();
            // ensure 0 < half-life: determine investment period
            return // 
            Read.from2(mrsBySymbol).filterValue(mrs -> // 
            mrs.adf < 0d && // 
            mrs.hurst < .5d && // 
            mrs.movingAvgMeanReversionRatio() < 0d).map2((symbol, mrs) -> {
                DataSource ds = dsBySymbol.get(symbol);
                double price = ds.prices[index - 1];
                double lma = mrs.latestMovingAverage();
                double diff = mrs.movingAvgMeanReversion.predict(new float[] { (float) lma, 1f });
                double dailyReturn = diff / price - dailyRiskFreeInterestRate;
                ReturnsStat returnsStat = ts.returnsStatDaily(ds.prices);
                double sharpe = returnsStat.sharpeRatio();
                double kelly = dailyReturn * price * price / mrs.movingAvgMeanReversion.sse;
                return new PotentialStat(dailyReturn, sharpe, kelly);
            }).filterValue(// 
            ps -> 0d < ps.kelly).cons(Asset.cashSymbol, // 
            new PotentialStat(Trade_.riskFreeInterestRate, 1d, 0d)).mapValue(// 
            ps -> ps.kelly).sortBy(// 
            (symbol, potential) -> -potential).take(// 
            top).toList();
        };
    };
}