wehub-resource-sync
82 lines
3.5 KiB
C#
82 lines
3.5 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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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// Calculation of the Sortino Ratio, a modification of the <see cref="SharpeRatio"/>.
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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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/// Formula: S(x) = (R - T) / TDD
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/// Where:
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/// S(x) - Sortino ratio of x
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/// R - the average period return
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/// T - the target or required rate of return for the investment strategy under consideration. In
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/// Sortino’s early work, T was originally known as the minimum acceptable return, or MAR. In his
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/// more recent work, MAR is now referred to as the Desired Target Return.
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/// TDD - the target downside deviation. <see cref="TargetDownsideDeviation"/>
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/// </summary>
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public class SortinoRatio : SharpeRatio
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{
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/// <summary>
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/// Downside deviation used as Sortino denominator.
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/// </summary>
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private TargetDownsideDeviation _denominator;
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/// <summary>
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/// Creates a new Sortino Ratio indicator using the specified periods
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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">Period of historical observation for Sortino ratio calculation</param>
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/// <param name="minimumAcceptableReturn">Minimum acceptable return for Sortino ratio calculation</param>
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public SortinoRatio(string name, int period, double minimumAcceptableReturn = 0)
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: base(name, period, minimumAcceptableReturn.SafeDecimalCast())
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{
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_denominator = new TargetDownsideDeviation(period, minimumAcceptableReturn);
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Ratio = Numerator.Over(_denominator);
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}
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/// <summary>
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/// Creates a new SortinoRatio indicator using the specified periods
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/// </summary>
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/// <param name="period">Period of historical observation for Sortino ratio calculation</param>
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/// <param name="minimumAcceptableReturn">Minimum acceptable return for Sortino ratio calculation</param>
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public SortinoRatio(int period, double minimumAcceptableReturn = 0)
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: this($"SORTINO({period},{minimumAcceptableReturn})", period, minimumAcceptableReturn)
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{
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}
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/// <summary>
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/// Computes the next value for this indicator from the given state.
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/// </summary>
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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(IndicatorDataPoint input)
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{
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_denominator.Update(input);
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return base.ComputeNextValue(input);
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}
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/// <summary>
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/// Resets this indicator to its initial state
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/// </summary>
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public override void Reset()
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{
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_denominator.Reset();
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base.Reset();
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}
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}
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}
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