@Override
public void retrieveResult(AnalysisOutput analysisOutput) {
if (finalTimeSeriesPoint != null && highestTimeSeriesPoint != null) {
double finalPriceClose = finalTimeSeriesPoint.getClose();
double highestPrice = highestTimeSeriesPoint.getHigh();
double totalDrawdown = Math.max(0, highestPrice - finalPriceClose);
logger.debug("Total drawdown is: " + totalDrawdown);
logger.debug(
"Total drawdown period is from "
+ highestTimeSeriesPoint.getDate()
+ " to "
+ finalTimeSeriesPoint.getDate());
analysisOutput.setTotalDrawdown(totalDrawdown);
} else {
throw new UnsupportedOperationException();
}
}
@Test
public void testBetaRegressionValueExtractor() {
BetaRegressionValueCalculator betaRegressionValueCalculator =
new BetaRegressionStandardValueCalculator();
BetaRegressionValueExtractor betaRegressionValueExtractor =
new BetaRegressionValueExtractor(betaRegressionValueCalculator);
int elementsCount = 9;
int assetCount = 3;
double[] Y = new double[elementsCount];
double[][] X = new double[elementsCount][assetCount + 1];
LocalDate now = LocalDate.now();
LocalDate[] dates =
new LocalDate[] {now, now.minusMonths(1), now.minusMonths(2), now.minusMonths(3)};
double[][] periodReturns = new double[][] {{1, 1, 2, 3}, {1, 4, 5, 6}, {1, 5, 6, 7}};
double[][] volatilities =
new double[][] {{1, 0.15, 0.25, 0.35}, {1, 0.45, 0.55, 0.65}, {1, 0.55, 0.65, 0.75}};
List<AnalysisOutput> analysisOutputList = new ArrayList<AnalysisOutput>();
for (int i = 0; i < periodReturns.length; ++i) {
Map<LocalDate, Double> instrumentVolatilityMap = new HashMap<LocalDate, Double>();
Map<LocalDate, Double> periodReturnsMap = new HashMap<LocalDate, Double>();
for (int j = 0; j < dates.length; ++j) {
periodReturnsMap.put(dates[j], periodReturns[i][j]);
instrumentVolatilityMap.put(dates[j], volatilities[i][j]);
}
AnalysisOutput analysisOutput = new AnalysisOutput();
analysisOutput.setInstrumentVolatilityMap(instrumentVolatilityMap);
analysisOutput.setPeriodReturns(periodReturnsMap);
analysisOutputList.add(analysisOutput);
}
betaRegressionValueExtractor.extractData(Y, X, analysisOutputList, dates.length - 1, 0);
double[][] expectedX =
new double[][] {
{1.0, 6.666666666666667, 0.0, 0.0},
{1.0, 0.0, 8.0, 0.0},
{1.0, 0.0, 0.0, 8.571428571428571},
{1.0, 8.88888888888889, 0.0, 0.0},
{1.0, 0.0, 9.09090909090909, 0.0},
{1.0, 0.0, 0.0, 9.23076923076923},
{1.0, 9.09090909090909, 0.0, 0.0},
{1.0, 0.0, 9.23076923076923, 0.0},
{1.0, 0.0, 0.0, 9.333333333333334}
};
for (int i = 0; i < expectedX.length; ++i) {
assertEquals(expectedX[i].length, X[i].length);
System.out.println(Arrays.toString(X[i]));
for (int j = 0; j < expectedX[i].length; ++j) {
assertEquals(expectedX[i][j], X[i][j]);
}
}
for (double y : Y) {
assertEquals(1.0, y);
}
}