Services

artemiusgreat · artemiusgreat · commit 197d14b3ef8c · 2024-10-23T03:21:11.000-04:00
diff --git a/Libs/Estimator.csproj b/Libs/Estimator.csproj
@@ -6,7 +6,7 @@
   
   <PropertyGroup>
     <GeneratePackageOnBuild>True</GeneratePackageOnBuild>
-    <Version>1.0.3</Version>
+    <Version>1.0.4</Version>
     <Description>Statistics and performance metrics in trading, CAGR, Sharpe, MAE, MFE, and others.</Description>
     <Authors>artemiusgreat</Authors>
     <Copyright>indemos.com</Copyright>
@@ -15,5 +15,9 @@
     <PackageTags>finance trading metrics forex performance-metrics stock-market stocks futures strategies backtestings</PackageTags>
     <PackageLicenseExpression>MIT</PackageLicenseExpression>
   </PropertyGroup>
+  
+  <ItemGroup>
+    <PackageReference Include="MathNet.Numerics" Version="5.0.0" />
+  </ItemGroup>
 
 </Project>
diff --git a/Libs/Estimators/CAGR/CAGR.cs b/Libs/Estimators/CAGR/CAGR.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
@@ -21,6 +20,6 @@ public class CAGR
     /// <summary>
     /// Calculate
     /// </summary>
-    public virtual double Calculate() => (Math.Pow(Items.Sum(o => o.Value), 1.0 / Count) - 1.0).Round();
+    public virtual double Calculate() => Math.Pow(Items.Sum(o => o.Value), 1.0 / Count) - 1.0;
   }
 }
diff --git a/Libs/Estimators/Edge/EdgeRatio.cs b/Libs/Estimators/Edge/EdgeRatio.cs
@@ -1,5 +1,5 @@
-using Estimator.Extensions;
 using Estimator.Models;
+using System;
 using System.Collections.Generic;
 
 namespace Estimator.Estimators
@@ -19,7 +19,7 @@ public virtual double Calculate()
       var averageGain = new MFE { Items = Items }.Calculate();
       var averageLoss = new MAE { Items = Items }.Calculate();
 
-      return (averageGain / averageLoss).Round();
+      return averageGain / averageLoss;
     }
   }
 }
diff --git a/Libs/Estimators/Kestner/KestnerRatio.cs b/Libs/Estimators/Kestner/KestnerRatio.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
@@ -26,7 +25,7 @@ public virtual double Calculate()
         error = 1.0;
       }
 
-      return (slope / error).Round();
+      return slope / error;
     }
   }
 }
diff --git a/Libs/Estimators/MAE/MAE.cs b/Libs/Estimators/MAE/MAE.cs
@@ -1,5 +1,5 @@
-using Estimator.Extensions;
 using Estimator.Models;
+using System;
 using System.Collections.Generic;
 using System.Linq;
 
@@ -15,6 +15,6 @@ public class MAE
     /// <summary>
     /// Calculate
     /// </summary>
-    public virtual double Calculate() => Items.Average(o => o.Value - o.Min).Round();
+    public virtual double Calculate() => Items.Average(o => o.Value - o.Min);
   }
 }
diff --git a/Libs/Estimators/MFE/MFE.cs b/Libs/Estimators/MFE/MFE.cs
@@ -1,5 +1,5 @@
-using Estimator.Extensions;
 using Estimator.Models;
+using System;
 using System.Collections.Generic;
 using System.Linq;
 
@@ -15,6 +15,6 @@ public class MFE
     /// <summary>
     /// Calculate
     /// </summary>
-    public virtual double Calculate() => Items.Average(o => o.Max - o.Value).Round();
+    public virtual double Calculate() => Items.Average(o => o.Max - o.Value);
   }
 }
diff --git a/Libs/Estimators/PF/PF.cs b/Libs/Estimators/PF/PF.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
@@ -26,7 +25,7 @@ public virtual double Calculate()
         gains = 1.0;
       }
 
-      return Math.Abs(gains / losses).Round();
+      return Math.Abs(gains / losses);
     }
   }
 }
diff --git a/Libs/Estimators/RAR/RAR.cs b/Libs/Estimators/RAR/RAR.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
@@ -70,7 +69,7 @@ public virtual double Calculate()
         denominator = 1.0;
       }
 
-      return (Math.Sqrt(Count) * (mean - Rate) / denominator).Round();
+      return Math.Sqrt(Count) * (mean - Rate) / denominator;
     }
   }
 }
diff --git a/Libs/Estimators/Regression/Regression.cs b/Libs/Estimators/Regression/Regression.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
diff --git a/Libs/Estimators/StandardScore/StandardScore.cs b/Libs/Estimators/StandardScore/StandardScore.cs
@@ -1,4 +1,3 @@
-using Estimator.Extensions;
 using Estimator.Models;
 using System;
 using System.Collections.Generic;
@@ -48,7 +47,7 @@ public virtual double Calculate()
         deviation = 1.0;
       }
 
-      return ((seriesCount - mean - 0.5) / deviation).Round();
+      return (seriesCount - mean - 0.5) / deviation;
     }
   }
 }
diff --git a/Libs/Extensions/Double.cs b/Libs/Extensions/Double.cs
diff --git a/Libs/Services/CointegrationService.cs b/Libs/Services/CointegrationService.cs
@@ -0,0 +1,147 @@
+using MathNet.Numerics;
+using MathNet.Numerics.LinearAlgebra;
+using MathNet.Numerics.LinearAlgebra.Factorization;
+using System;
+using System.Linq;
+
+namespace Estimator.Services
+{
+  /// <summary>
+  /// References
+  /// Numerically Stable Cointegration Analysis - Jurgen Doornik
+  /// Alternative asymptotics for cointegration tests in large VARs - Alexei Onatski and Chen Wang
+  /// Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated - Erik Hjalmarsson
+  /// Time Series Analysis - Hamilton, J.D.
+  /// https://github.com/iisayoo/johansen/blob/master/johansen/johansen.py
+  /// </summary>
+  public class CointegrationService
+  {
+    /// <summary>
+    /// Cointegration
+    /// </summary>
+    /// <param name="inputMatrix"></param>
+    /// <param name="lags"></param>
+    /// <returns></returns>
+    public static (double, Vector<double>) Johansen(Matrix<double> inputMatrix, int lags = 1)
+    {
+      var matrix = Center(inputMatrix);
+      var variables = matrix.ColumnCount;
+      var observations = matrix.RowCount - Math.Max(1, lags);
+
+      // Step 1: First difference
+      var xSub =
+        matrix.SubMatrix(1, matrix.RowCount - 1, 0, variables) -
+        matrix.SubMatrix(0, matrix.RowCount - 1, 0, variables);
+
+      // Step 2: Create lagged matrices
+      var xLag = Lag(matrix, lags);
+      var xSubLag = Lag(xSub, lags);
+
+      // Step 3: Resize matrices
+      xSub = xSub.Resize(observations, xSub.ColumnCount);
+      xLag = xLag.Resize(observations, xLag.ColumnCount);
+      xSubLag = xSubLag.Resize(observations, xSubLag.ColumnCount);
+
+      // Step 4: Compute residuals of xSub and xLag on xSubLag
+      var xSubLagInv = xSubLag.PseudoInverse();
+      var u = xSub - xSubLag * xSubLagInv * xSub;
+      var v = xLag - xSubLag * xSubLagInv * xLag;
+
+      // Step 5: Compute eigenvalues and eigenvectors
+      var Suu = u.TransposeThisAndMultiply(u) / observations;
+      var Svv = v.TransposeThisAndMultiply(v) / observations;
+      var Suv = u.TransposeThisAndMultiply(v) / observations;
+      var evd = (Svv.PseudoInverse() * Suv.TransposeThisAndMultiply(Suu.PseudoInverse() * Suv)).Evd();
+      var eigenValues = evd.EigenValues.Real();
+      var maxIndex = eigenValues.MaximumIndex();
+      var eigenVectors = evd.EigenVectors.Column(maxIndex);
+
+      // Step 6: Compare trace statistics with critical values to determine cointegration rank
+      var rank = GetRank(eigenValues, observations);
+
+      return (rank, eigenVectors);
+    }
+
+    /// <summary>
+    /// Subtract mean
+    /// </summary>
+    /// <param name="matrix"></param>
+    /// <returns></returns>
+    private static Matrix<double> Center(Matrix<double> matrix)
+    {
+      var columnMeans = matrix.ColumnSums() / matrix.RowCount;
+      var mean = Matrix<double>.Build.Dense(matrix.RowCount, matrix.ColumnCount, (i, ii) => columnMeans[ii]);
+      return matrix - mean;
+    }
+
+    /// <summary>
+    /// Get approximated critical value for specified rank
+    /// </summary>
+    /// <param name="vars"></param>
+    /// <param name="rank"></param>
+    /// <returns></returns>
+    private static double GetCriticalValue(int rank, int numVariables)
+    {
+      // Higher base critical value for better scaling
+      double baseCriticalValue = 3.76;
+
+      // Stronger scaling factors to match real-world growth in critical values
+      double variableFactor = Math.Pow(2.5, numVariables - 2);  // More aggressive scaling for variables
+      double rankFactor = Math.Pow(2.5, rank);  // Steep scaling for rank
+
+      // Final critical value is the base value multiplied by both factors
+      double criticalValue = baseCriticalValue * variableFactor * rankFactor;
+
+      return criticalValue;
+    }
+
+    /// <summary>
+    /// Lag matrix
+    /// </summary>
+    /// <param name="matrix"></param>
+    /// <param name="lags"></param>
+    /// <param name="sub"></param>
+    /// <returns></returns>
+    private static Matrix<double> Lag(Matrix<double> matrix, int lags = 1)
+    {
+      var response = Matrix<double>.Build.Dense(matrix.RowCount, matrix.ColumnCount * lags);
+
+      for (var i = 0; i < lags; i++)
+      {
+        var subMatrix = matrix.SubMatrix(0, matrix.RowCount - i, 0, matrix.ColumnCount);
+        response.SetSubMatrix(i + 1, subMatrix.RowCount - 1, matrix.ColumnCount * i, subMatrix.ColumnCount, subMatrix);
+      }
+
+      return response;
+    }
+
+    /// <summary>
+    /// Get
+    /// </summary>
+    /// <param name="eigenValues"></param>
+    /// <param name="observations"></param>
+    /// <returns></returns>
+    private static int GetRank(Vector<double> eigenValues, int observations)
+    {
+      var variables = eigenValues.Count;
+
+      // Loop through from rank r to m (the number of variables)
+      for (var i = 0; i < variables; i++)
+      {
+        // Calculate the test statistic: -t * sum(log(1 - eigenvalues[i:]))
+        var statistic = -observations * eigenValues.SubVector(i + 1, variables - i - 1).Sum(o => Math.Log(1 - o));
+        // Get the corresponding critical value for this rank
+        var critValue = GetCriticalValue(i, variables);
+
+        // If the statistic is less than the critical value, return the rank i
+        if (statistic < critValue)
+        {
+          return i;
+        }
+      }
+
+      // If no rank satisfies the condition, return m
+      return variables;
+    }
+  }
+}
diff --git a/Libs/Services/OptionService.cs b/Libs/Services/OptionService.cs

Original file line number	Diff line number	Diff line change
`@@ -1,4 +1,3 @@`
`1`		`-using Estimator.Extensions;`
`2`	`1`	`using Estimator.Models;`
`3`	`2`	`using System;`
`4`	`3`	`using System.Collections.Generic;`
`@@ -21,6 +20,6 @@ public class CAGR`
`21`	`20`	`/// <summary>`
`22`	`21`	`/// Calculate`
`23`	`22`	`/// </summary>`
`24`		`- public virtual double Calculate() => (Math.Pow(Items.Sum(o => o.Value), 1.0 / Count) - 1.0).Round();`
	`23`	`+ public virtual double Calculate() => Math.Pow(Items.Sum(o => o.Value), 1.0 / Count) - 1.0;`
`25`	`24`	`}`
`26`	`25`	`}`
Original file line number	Diff line number	Diff line change
`@@ -1,5 +1,5 @@`
`1`		`-using Estimator.Extensions;`
`2`	`1`	`using Estimator.Models;`
	`2`	`+using System;`
`3`	`3`	`using System.Collections.Generic;`
`4`	`4`
`5`	`5`	`namespace Estimator.Estimators`
`@@ -19,7 +19,7 @@ public virtual double Calculate()`
`19`	`19`	`var averageGain = new MFE { Items = Items }.Calculate();`
`20`	`20`	`var averageLoss = new MAE { Items = Items }.Calculate();`
`21`	`21`
`22`		`- return (averageGain / averageLoss).Round();`
	`22`	`+ return averageGain / averageLoss;`
`23`	`23`	`}`
`24`	`24`	`}`
`25`	`25`	`}`