[Quantproject-developers] QuantProject/b1_ADT/Statistics AdvancedFunctions.cs,1.2,1.3

[Glauco S. <gla...@us...>]

Update of /cvsroot/quantproject/QuantProject/b1_ADT/Statistics
In directory sc8-pr-cvs7.sourceforge.net:/tmp/cvs-serv3805/b1_ADT/Statistics

Modified Files:
	AdvancedFunctions.cs 
Log Message:
The GetExpectancyScore public method has been added

Index: AdvancedFunctions.cs
===================================================================
RCS file: /cvsroot/quantproject/QuantProject/b1_ADT/Statistics/AdvancedFunctions.cs,v
retrieving revision 1.2
retrieving revision 1.3
diff -C2 -d -r1.2 -r1.3
*** AdvancedFunctions.cs	3 Sep 2005 23:56:26 -0000	1.2
--- AdvancedFunctions.cs	1 Jun 2006 23:33:23 -0000	1.3
***************
*** 124,128 ****
  			return sharpeRatio;
  		}
!   }
    
  
--- 124,172 ----
  			return sharpeRatio;
  		}
! 		#region GetExpectancyScore
! 		public static double GetExpectancyScore( ICollection returns )
! 		{
! 			double winningPeriods = 0;
! 			double losingPeriods = 0;
! 			double sumOfWinningReturns = 0;
! 			double sumOfLosingReturns = 0;
! 			double maxWinningReturn = Double.MinValue;
! 			double averageWinningReturn;
! 			double averageLosingReturn;
! 			double probabilityOfWinning;
! 			double probabilityOfLosing;
! 			foreach ( double singleReturn in returns )
! 			{
! 				if ( singleReturn > 0 )
! 				{
! 					winningPeriods++;
! 					sumOfWinningReturns += singleReturn;
! 					if ( singleReturn > maxWinningReturn )
! 						maxWinningReturn = singleReturn;
! 				}
! 				if ( singleReturn < 0 )
! 				{
! 					losingPeriods++;
! 					sumOfLosingReturns += singleReturn;
! 				}
! 			}
! 
! 			averageWinningReturn = ( sumOfWinningReturns - maxWinningReturn )
! 				/ ( winningPeriods - 1 );
! 			averageLosingReturn = sumOfLosingReturns / losingPeriods;
! 			probabilityOfWinning = ( winningPeriods - 1 ) /
! 				( winningPeriods + losingPeriods - 1 );
! 			probabilityOfLosing = losingPeriods /
! 				( winningPeriods + losingPeriods - 1 );
! 
! 			double expectancyScore =
! 				( averageWinningReturn * probabilityOfWinning +
! 				averageLosingReturn * probabilityOfLosing ) /
! 				Math.Abs( averageLosingReturn ) /
!         ( winningPeriods + losingPeriods - 1 );
! 			return expectancyScore;
! 		}
! 		#endregion
! 	}