Derek Melchin
5bfe2491c3
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* Add sortino indicator and helper indicators * Address review * Address review
80 lines
4.0 KiB
C#
80 lines
4.0 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes the n-period target downside deviation. The target downside deviation is defined as the
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/// root-mean-square, or RMS, of the deviations of the realized return’s underperformance from the target return
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/// where all returns above the target return are treated as underperformance of 0.
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///
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/// Reference: https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf
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/// </summary>
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public class TargetDownsideDeviation : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Minimum acceptable return (MAR) for target downside deviation calculation
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/// </summary>
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private readonly double _minimumAcceptableReturn;
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/// <summary>
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/// Initializes a new instance of the TargetDownsideDeviation class with the specified period and
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/// minimum acceptable return.
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///
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/// The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of
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/// the realized return’s underperformance from the target return where all returns above the target
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/// return are treated as underperformance of 0.
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/// </summary>
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/// <param name="period">The sample size of the target downside deviation</param>
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/// <param name="minimumAcceptableReturn">Minimum acceptable return (MAR) for target downside deviation calculation</param>
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public TargetDownsideDeviation(int period, double minimumAcceptableReturn = 0)
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: this($"TDD({period},{minimumAcceptableReturn})", period, minimumAcceptableReturn)
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{
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_minimumAcceptableReturn = minimumAcceptableReturn;
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}
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/// <summary>
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/// Initializes a new instance of the TargetDownsideDeviation class with the specified period and
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/// minimum acceptable return.
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///
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/// The target downside deviation is defined as the root-mean-square, or RMS, of the deviations of
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/// the realized return’s underperformance from the target return where all returns above the target
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/// return are treated as underperformance of 0.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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/// <param name="period">The sample size of the target downside deviation</param>
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/// <param name="minimumAcceptableReturn">Minimum acceptable return (MAR) for target downside deviation calculation</param>
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public TargetDownsideDeviation(string name, int period, double minimumAcceptableReturn = 0)
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: base(name, period)
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{
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="window">The window for the input history</param>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint> window, IndicatorDataPoint input)
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{
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var avg = window.Select(x => Math.Pow(Math.Min(0, (double)x.Value - _minimumAcceptableReturn), 2)).Average();
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return Math.Sqrt(avg).SafeDecimalCast();
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}
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}
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}
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