wehub-resource-sync
116 lines
4.3 KiB
C#
116 lines
4.3 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 MathNet.Numerics.Statistics;
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using MathNet.Numerics.Distributions;
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using System;
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namespace QuantConnect.Indicators
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{
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/// <summary>
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/// This indicator computes 1-day VaR for a specified confidence level and lookback period
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/// </summary>
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public class ValueAtRisk : WindowIndicator<IndicatorDataPoint>, IIndicatorWarmUpPeriodProvider
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{
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/// <summary>
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/// Confidence level for VaR calculation
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/// </summary>
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private readonly double _confidenceLevel;
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/// <summary>
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/// RateOfChange indicator to calculate the returns
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/// </summary>
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private readonly RateOfChange _rateOfChange;
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/// <summary>
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/// Rolling window to store the returns of the input data
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/// </summary>
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private readonly RollingWindow<double> _returns;
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/// <summary>
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/// Required period, in data points, for the indicator to be ready and fully initialized.
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/// </summary>
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public override int WarmUpPeriod { get; }
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/// <summary>
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/// Gets a flag indicating when the indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady => Samples >= WarmUpPeriod;
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/// <summary>
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/// Creates a new ValueAtRisk indicator with a specified period and confidence level
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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">Historical lookback period in days</param>
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/// <param name="confidenceLevel">Confidence level for VaR calculation</param>
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public ValueAtRisk(string name, int period, double confidenceLevel)
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: base(name, period)
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{
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if (period < 3)
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{
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throw new ArgumentException($"Period parameter for ValueAtRisk indicator must be greater than 2 but was {period}");
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}
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WarmUpPeriod = period;
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_confidenceLevel = confidenceLevel;
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_returns = new RollingWindow<double>(period);
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_rateOfChange = new RateOfChange(1);
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}
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/// <summary>
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/// Creates a new ValueAtRisk indicator with a specified period and confidence level
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/// </summary>
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/// <param name="period">Historical lookback period in days</param>
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/// <param name="confidenceLevel">Confidence level for VaR calculation</param>
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public ValueAtRisk(int period, double confidenceLevel)
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: this($"VaR({period}, {confidenceLevel})", period, confidenceLevel)
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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="window">The window of data held in this indicator</param>
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/// <param name="input">The input value to this indicator on this time step</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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_rateOfChange.Update(input);
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_returns.Add((double)_rateOfChange.Current.Value);
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if (_returns.Count < 2)
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{
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return 0m;
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}
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var mean = _returns.Mean();
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var standardDeviation = _returns.StandardDeviation();
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return (decimal)Normal.InvCDF(mean, standardDeviation, 1 - _confidenceLevel);
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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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_rateOfChange.Reset();
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_returns.Reset();
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base.Reset();
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}
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}
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}
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