Added correlation func to stats

evanwporter · Sep 24, 2023 · d6e7acc · d6e7acc
1 parent 6254f45
commit d6e7acc
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Showing 21 changed files with 35 additions and 25 deletions.
diff --git a/.vscode/tasks.json b/.vscode/tasks.json
@@ -8,16 +8,23 @@
                 "/Zi",
                 "/EHsc",
                 "/nologo",
-                "/Fe${fileDirname}\\build\\backtest.exe",
+                "/Fe${fileDirname}\\backtest.exe",
+                "C:\\Users\\evanw\\OneDrive\\Documents\\GitHub\\CAT\\DataHandler\\dh.cpp",
+                "${fileDirname}\\cov.cpp",
+                "C:\\Users\\evanw\\OneDrive\\Documents\\GitHub\\CAT\\Libraries\\**.cpp",
+                "/IC:\\Users\\evanw\\OneDrive\\Documents\\GitHub\\CAT\\Libraries\\Eigen",
 
-                "${fileDirname}\\**.cpp",
-                "${fileDirname}\\Strategy\\**.cpp",
-                "${fileDirname}\\DataHandler\\**.cpp",
-                "${fileDirname}\\RiskHandler\\**.cpp",
-                "${fileDirname}\\Portfolio\\**.cpp",
-                "${fileDirname}\\Libraries\\**.cpp",
-                "${fileDirname}\\Metrics\\**.cpp",
-                "/I${fileDirname}\\Libraries\\Eigen",
+
+
+                // "/Fe${fileDirname}\\backtest.exe",
+                // "${fileDirname}\\**.cpp",
+                // "${fileDirname}\\Strategy\\**.cpp",
+                // "${fileDirname}\\DataHandler\\**.cpp",
+                // "${fileDirname}\\RiskHandler\\**.cpp",
+                // "${fileDirname}\\Portfolio\\**.cpp",
+                // "${fileDirname}\\Libraries\\**.cpp",
+                // "${fileDirname}\\Metrics\\**.cpp",
+                // "/I${fileDirname}\\Libraries\\Eigen",
 
                 "/std:c++20",
             ],

diff --git a/Data/AAPL.csv b/Data/AAPL.csv
@@ -1,6 +1,5 @@
 2147
 Date,Open,High,Low,Close,Adj Close,Volume
-1092873600000,0.562679,0.568929,0.542143,0.548393,0.465474,388920000
 1092960000000,0.548393,0.553393,0.544464,0.55,0.466838,316780800
 1093219200000,0.551071,0.558393,0.546429,0.555,0.471082,254660000
 1093305600000,0.558214,0.570536,0.556964,0.570536,0.484269,374136000

diff --git a/Data/Dated/AAPL.csv b/Data/Dated/AAPL.csv
@@ -1,5 +1,4 @@
 Date,Open,High,Low,Close,Adj Close,Volume
-2004-08-19,0.562679,0.568929,0.542143,0.548393,0.465474,388920000
 2004-08-20,0.548393,0.553393,0.544464,0.550000,0.466838,316780800
 2004-08-23,0.551071,0.558393,0.546429,0.555000,0.471082,254660000
 2004-08-24,0.558214,0.570536,0.556964,0.570536,0.484269,374136000

diff --git a/Metrics/metrics.cpp b/Metrics/metrics.cpp
@@ -41,7 +41,7 @@ Metrics::Metrics(Portfolio *p) {
 
     // std::cout<<"4";
 
-    RETURNS = calculate_percent_change(TOTAL_EQUITY);
+    RETURNS = pct_change(TOTAL_EQUITY);
     // Total Returns
     // RETURNS = Eigen::MatrixXd(holdings.rows(), 1);
     // RETURNS(0) = 1;
@@ -78,12 +78,12 @@ Metrics::Metrics(Portfolio *p) {
 }
 
 double Metrics::SHARPE_RATIO(int periods) {
-    return std::sqrt(periods) * RETURNS.mean() / std(RETURNS);
+    return std::sqrt(periods) * RETURNS.mean() / stdev(RETURNS);
 }
 
-double Metrics::std(Eigen::VectorXd vec) {
-    return std::sqrt((vec.array() - vec.mean()).square().sum() / (vec.size() - 1));
-}
+// double Metrics::std(Eigen::VectorXd vec) {
+//     return std::sqrt((vec.array() - vec.mean()).square().sum() / (vec.size() - 1));
+// }
 
 
 void Metrics::calculate_drawdown() {

diff --git a/Metrics/stats.h b/Metrics/stats.h
@@ -6,7 +6,7 @@
 using namespace Eigen;
 
 
-VectorXd calculate_percent_change(VectorXd vec) {
+VectorXd pct_change(VectorXd vec) {
     VectorXd ret = MatrixXd(vec.rows(), 1);
     ret(0) = 1;
 
@@ -21,3 +21,16 @@ VectorXd calculate_percent_change(VectorXd vec) {
 double stdev(VectorXd vec) {
     return std::sqrt((vec.array() - vec.mean()).square().sum() / (vec.size() - 1));
 }
+
+// This currently does not work.
+MatrixXd correlation(MatrixXd RETURNS){
+
+    MatrixXd centered = RETURNS.rowwise() - RETURNS.colwise().mean();
+    MatrixXd cov = (centered.adjoint() * centered) / double(RETURNS.rows() - 1);
+
+    auto Dinv = cov.inverse();
+
+    // std::cout << cov;
+
+    return Dinv * cov * Dinv;
+}
diff --git a/backtest.exe b/backtest.exe
diff --git a/build/backtest.exe b/build/backtest.exe
diff --git a/build/backtest.ilk b/build/backtest.ilk
diff --git a/build/backtest.pdb b/build/backtest.pdb
diff --git a/cash.obj b/cash.obj
diff --git a/cov.cpp b/cov.cpp
diff --git a/cov.obj b/cov.obj
diff --git a/dh.obj b/dh.obj
diff --git a/engine.obj b/engine.obj
diff --git a/metrics.obj b/metrics.obj
diff --git a/portfolio.obj b/portfolio.obj
diff --git a/position.obj b/position.obj
diff --git a/risk.obj b/risk.obj
diff --git a/simdjson.obj b/simdjson.obj
diff --git a/strategy.obj b/strategy.obj
diff --git a/vc140.pdb b/vc140.pdb