metric

Documentation

Overview

提供了一系列基于天收益序列的指标

Index

• Variables
• func ActivePremium(c MetricCalculator) (float64, error)
• func AlphaBeta(c MetricCalculator) (alpha, beta float64, err error)
• func AppraisalRatio(c MetricCalculator) (float64, error)
• func BenchAnnualize(c MetricCalculator) (float64, error)
• func BenchVariance(c MetricCalculator) (float64, error)
• func Beta(c MetricCalculator) (float64, error)
• func DownsideDeviation(array []float64, MAR float64) (float64, error)
• func InformationRatio(c MetricCalculator) (float64, error)
• func JensenAlpha(c MetricCalculator) (float64, error)
• func Kappa(rRatio []float64, MAR float64, l float64) float64
• func Kurtosis(array []float64) (float64, error)
• func MSquared(c MetricCalculator) (float64, error)
• func MeanGeometric(c MetricCalculator) (float64, error)
• func PortfolioAdjustedSharpeRatio(c MetricCalculator) (float64, error)
• func PortfolioAnnualize(c MetricCalculator) (float64, error)
• func PortfolioAverageDrawDown(c MetricCalculator) (float64, error)
• func PortfolioAverageLength(c MetricCalculator) (float64, error)
• func PortfolioAverageRecovery(c MetricCalculator) (float64, error)
• func PortfolioBernardoLedoitRatio(c MetricCalculator) (float64, error)
• func PortfolioBurkeRatio(c MetricCalculator) (float64, error)
• func PortfolioCalmarRatio(c MetricCalculator) (float64, error)
• func PortfolioDRatio(c MetricCalculator) (float64, error)
• func PortfolioDownsideDeviation(c MetricCalculator) (float64, error)
• func PortfolioKappa(c MetricCalculator) (float64, error)
• func PortfolioKellyRatioFull(c MetricCalculator) (float64, error)
• func PortfolioKurtosis(c MetricCalculator) (float64, error)
• func PortfolioMaxDrawDown(c MetricCalculator) (float64, error)
• func PortfolioPainIndex(c MetricCalculator) (float64, error)
• func PortfolioPainRatio(c MetricCalculator) (float64, error)
• func PortfolioProspectRatio(c MetricCalculator) (float64, error)
• func PortfolioSharpeRatio(c MetricCalculator) (float64, error)
• func PortfolioSkewness(c MetricCalculator) (float64, error)
• func PortfolioSortinoRatio(c MetricCalculator) (float64, error)
• func PortfolioStdDev(c MetricCalculator) (float64, error)
• func PortfolioStdDevAnnualized(c MetricCalculator) (float64, error)
• func PortfolioSterlingRatio(c MetricCalculator) (float64, error)
• func PortfolioUpsideFrequency(c MetricCalculator) (float64, error)
• func PortfolioUpsidePotentialRatio(c MetricCalculator) (float64, error)
• func PortfolioUpsideRisk(c MetricCalculator) (float64, error)
• func PortfolioVariance(c MetricCalculator) (float64, error)
• func Skewness(array []float64) (float64, error)
• func SpecificRisk(c MetricCalculator) (float64, error)
• func SystematicRisk(c MetricCalculator) (float64, error)
• func TotalRisk(c MetricCalculator) (float64, error)
• func TrackingError(c MetricCalculator) (float64, error)
• func TreynorRatio(c MetricCalculator) (float64, error)
• func Variance(array []float64) (float64, error)
• type Metric
• type MetricCalculator
  • func NewDailyMetricCalculatorNoBench(portfolio []float64) *MetricCalculator
  • func NewMetricCalculator(portfolio, bench []float64, dates []time.Time) *MetricCalculator
  • func (c MetricCalculator) BenchRatio() []float64
  • func (c MetricCalculator) GetOrSetScalar(name string, process func() (float64, error)) (float64, error)
  • func (c MetricCalculator) GetOrSetVector(name string, process func() (Vector, error)) (Vector, error)
  • func (m *MetricCalculator) Period() float64
  • func (c MetricCalculator) PortfolioRatio() []float64
  • func (c MetricCalculator) Process(name string) (float64, error)
• type Vector
  • func AnalysisDrawDown(drawdowns Vector) (draw, length, recovery Vector, err error)
  • func PortfolioAnalysisDrawDown(c MetricCalculator) (draw, length, recovery Vector, err error)
  • func PortfolioDrawDown(c MetricCalculator) (Vector, error)
  • func (v1 Vector) AccumulateMul() float64
  • func (v1 Vector) AccumulateSum() float64
  • func (v1 Vector) AddScalarV(s float64) Vector
  • func (v1 Vector) AddVectorV(v2 Vector) Vector
  • func (v1 Vector) Annualize(scale float64, geometric bool) float64
  • func (v1 Vector) Average() float64
  • func (v1 Vector) Drawdowns() Vector
  • func (v Vector) ImplV(op func(float64) float64) Vector
  • func (v1 Vector) ImplVectorV(v2 Vector, op func(float64, float64) (float64, float64)) Vector
  • func (v1 Vector) ReturnRatio(method string) Vector

Variables

var MAR = 0.03 //---->scale 252 MAR=MAR/Scale

var MetricMap = map[string]Metric{}

var Rf = 0.03

var Scale = 252.0

Functions

func ActivePremium

func ActivePremium(c MetricCalculator) (float64, error)

func AlphaBeta

func AlphaBeta(c MetricCalculator) (alpha, beta float64, err error)

func AppraisalRatio

func AppraisalRatio(c MetricCalculator) (float64, error)

func BenchAnnualize

func BenchAnnualize(c MetricCalculator) (float64, error)

func BenchVariance

func BenchVariance(c MetricCalculator) (float64, error)

func Beta

func Beta(c MetricCalculator) (float64, error)

func DownsideDeviation

func DownsideDeviation(array []float64, MAR float64) (float64, error)

func InformationRatio

func InformationRatio(c MetricCalculator) (float64, error)

func JensenAlpha

func JensenAlpha(c MetricCalculator) (float64, error)

func Kappa

func Kappa(rRatio []float64, MAR float64, l float64) float64

func Kurtosis

func Kurtosis(array []float64) (float64, error)

Kurtosis 峰度 using sample_excess

func MSquared

func MSquared(c MetricCalculator) (float64, error)

func MeanGeometric

func MeanGeometric(c MetricCalculator) (float64, error)

func PortfolioAdjustedSharpeRatio

func PortfolioAdjustedSharpeRatio(c MetricCalculator) (float64, error)

func PortfolioAnnualize

func PortfolioAnnualize(c MetricCalculator) (float64, error)

func PortfolioAverageDrawDown

func PortfolioAverageDrawDown(c MetricCalculator) (float64, error)

func PortfolioAverageLength

func PortfolioAverageLength(c MetricCalculator) (float64, error)

func PortfolioAverageRecovery

func PortfolioAverageRecovery(c MetricCalculator) (float64, error)

func PortfolioBernardoLedoitRatio

func PortfolioBernardoLedoitRatio(c MetricCalculator) (float64, error)

func PortfolioBurkeRatio

func PortfolioBurkeRatio(c MetricCalculator) (float64, error)

func PortfolioCalmarRatio

func PortfolioCalmarRatio(c MetricCalculator) (float64, error)

func PortfolioDRatio

func PortfolioDRatio(c MetricCalculator) (float64, error)

func PortfolioDownsideDeviation

func PortfolioDownsideDeviation(c MetricCalculator) (float64, error)

func PortfolioKappa

func PortfolioKappa(c MetricCalculator) (float64, error)

func PortfolioKellyRatioFull

func PortfolioKellyRatioFull(c MetricCalculator) (float64, error)

func PortfolioKurtosis

func PortfolioKurtosis(c MetricCalculator) (float64, error)

func PortfolioMaxDrawDown

func PortfolioMaxDrawDown(c MetricCalculator) (float64, error)

func PortfolioPainIndex

func PortfolioPainIndex(c MetricCalculator) (float64, error)

func PortfolioPainRatio

func PortfolioPainRatio(c MetricCalculator) (float64, error)

func PortfolioProspectRatio

func PortfolioProspectRatio(c MetricCalculator) (float64, error)

func PortfolioSharpeRatio

func PortfolioSharpeRatio(c MetricCalculator) (float64, error)

func PortfolioSkewness

func PortfolioSkewness(c MetricCalculator) (float64, error)

func PortfolioSortinoRatio

func PortfolioSortinoRatio(c MetricCalculator) (float64, error)

func PortfolioStdDev

func PortfolioStdDev(c MetricCalculator) (float64, error)

func PortfolioStdDevAnnualized

func PortfolioStdDevAnnualized(c MetricCalculator) (float64, error)

func PortfolioSterlingRatio

func PortfolioSterlingRatio(c MetricCalculator) (float64, error)

func PortfolioUpsideFrequency

func PortfolioUpsideFrequency(c MetricCalculator) (float64, error)

func PortfolioUpsidePotentialRatio

func PortfolioUpsidePotentialRatio(c MetricCalculator) (float64, error)

func PortfolioUpsideRisk

func PortfolioUpsideRisk(c MetricCalculator) (float64, error)

func PortfolioVariance

func PortfolioVariance(c MetricCalculator) (float64, error)

func Skewness

func Skewness(array []float64) (float64, error)

Skewness 偏度 using moment

func SpecificRisk

func SpecificRisk(c MetricCalculator) (float64, error)

func SystematicRisk

func SystematicRisk(c MetricCalculator) (float64, error)

func TotalRisk

func TotalRisk(c MetricCalculator) (float64, error)

func TrackingError

func TrackingError(c MetricCalculator) (float64, error)

func TreynorRatio

func TreynorRatio(c MetricCalculator) (float64, error)

func Variance

func Variance(array []float64) (float64, error)

Types

type Metric

type Metric func(c MetricCalculator) (float64, error)

type MetricCalculator

type MetricCalculator struct {
	// contains filtered or unexported fields
}

func NewDailyMetricCalculatorNoBench

func NewDailyMetricCalculatorNoBench(portfolio []float64) *MetricCalculator

func NewMetricCalculator

func NewMetricCalculator(portfolio, bench []float64, dates []time.Time) *MetricCalculator

func (MetricCalculator) BenchRatio

func (c MetricCalculator) BenchRatio() []float64

func (MetricCalculator) GetOrSetScalar

func (c MetricCalculator) GetOrSetScalar(name string, process func() (float64, error)) (float64, error)

func (MetricCalculator) GetOrSetVector

func (c MetricCalculator) GetOrSetVector(name string, process func() (Vector, error)) (Vector, error)

func (*MetricCalculator) Period

func (m *MetricCalculator) Period() float64

func (MetricCalculator) PortfolioRatio

func (c MetricCalculator) PortfolioRatio() []float64

func (MetricCalculator) Process

func (c MetricCalculator) Process(name string) (float64, error)

type Vector

type Vector []float64

func AnalysisDrawDown

func AnalysisDrawDown(drawdowns Vector) (draw, length, recovery Vector, err error)

func PortfolioAnalysisDrawDown

func PortfolioAnalysisDrawDown(c MetricCalculator) (draw, length, recovery Vector, err error)

func PortfolioDrawDown

func PortfolioDrawDown(c MetricCalculator) (Vector, error)

func (Vector) AccumulateMul

func (v1 Vector) AccumulateMul() float64

func (Vector) AccumulateSum

func (v1 Vector) AccumulateSum() float64

func (Vector) AddScalarV

func (v1 Vector) AddScalarV(s float64) Vector

func (Vector) AddVectorV

func (v1 Vector) AddVectorV(v2 Vector) Vector

func (Vector) Annualize

func (v1 Vector) Annualize(scale float64, geometric bool) float64

func (Vector) Average

func (v1 Vector) Average() float64

func (Vector) Drawdowns

func (v1 Vector) Drawdowns() Vector

func (Vector) ImplV

func (v Vector) ImplV(op func(float64) float64) Vector

func (Vector) ImplVectorV

func (v1 Vector) ImplVectorV(v2 Vector, op func(float64, float64) (float64, float64)) Vector

func (Vector) ReturnRatio

func (v1 Vector) ReturnRatio(method string) Vector