Finance metrics and median calculation #1289
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JiaZhou-PU
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Job Test CentOS 7 on b65d0c4 : invalidated by @joshua-cogliati-inl failed in set python environment. |
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@JiaZhou-PU ready to be reviewed? |
Yep |
...ork/PostProcessors/BasicStatistics/gold/basicStatisticsGeneral/PointSetPostProcTest_dump.xml
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| \item \textbf{sharpeRatio}: the Sharpe Ratio, measures the performance of an investment. It is defined as the historical returns of the investment, divided by the standard deviation of the investment(Volatility). | ||
| \item \textbf{sortinoRatio}: the Sortino ratio, measures the risk-adjusted return of an investment asset. Discounts the excess return of a portfolio above a target threshold by the volatility of downside returns. If this quantity is inputted as \textit{sortinoRatio} the threshold for separate upside and downside value will assign as $0$. Otherwise the user can specify this quantity with a parameter \xmlAttr{threshold='X'}, where the \xmlAttr{X} represents the requested threshold \xmlAttr{median} or \xmlAttr{zero}. | ||
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| \item \textbf{gainLossRatio}: the gain-loss ratio, discounts the first-order higher partial moment of a portfolio's returns, by the first-order lower partial moment of a portfolio's returns. If this quantity is inputted as \textit{gainLossRatio} the threshold for separate upside and downside value will assign as $0$. Otherwise the user can specify this quantity with a parameter \xmlAttr{threshold='X'}, where the \xmlAttr{X} represents the requested threshold \xmlAttr{median} or \xmlAttr{zero}. |
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"threshold for separate upside and downside value will assign as
Does this mean "the default threshold for the separate upside and downside value is
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So the financial data put in to calculation is usually the percentage change based on the original price. So 0 would be an ideal threshold, somehow in other calculation you could assign median as the gain or lose threshold.
| \begin{equation} | ||
| ES_\alpha = -\frac{1}{\alpha} \int_0^\alpha \operatorname{VaR}_\gamma(X) \, d\gamma | ||
| \end{equation} | ||
| \item \textbf{valueAtRisk}: the value at risk for investments. Estimates the maximum possible loss after exclude worse outcomes whose combined probability is at most $\alpha$. If this quantity is inputted as \textit{ValueAtRisk} the $\alpha$ value will assign as $5\%$. Otherwise the user can specify this quantity with a parameter \xmlAttr{threshold='X'}, where the \xmlAttr{X} represents the requested $\alpha$ value (a floating point value between 0.0 and 1.0) |
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Do 0.0 to 1.0 represent 0% to 100%? (Also for expectedShortfall)?
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Yes, it's basically like a quantile.
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| skew_x,vc_x,percentile_5_x,percentile_95_x,mean_x,kurt_x,median_x,max_x,min_x,samp_x,var_x,sigma_x | |||
| 0.11423075075,0.188785800293,5.91996682062,8.1183566722,7.28508256545,-3.67853432603,6.33133089078,8.77067587821,5.91996682062,4.0,1.89150549387,1.37532014232 | |||
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Why are there changes in basic statistics results?
Note that this is REQUIREMENT test, so this needs to be checked by Andrea as well.
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as COB Chair, I approve the modification/regolding of this test.
Thank you Josh for pointing this out.
An analytical test should be added
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This changes results (since this changes the median and percentile calculation). Can you write a proposed email explaining this? |
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I am sorry about asking for more work, but if we are changing the percentages and the median value, we really need to add a test where we pass in a known vector and check that we get out the exact calculated values, so we can check that the values are really correct this time. |
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@joshua-cogliati-inl No problem Josh, I will send a test to you and explain. |
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Job Mingw Test on c861477 : invalidated by @alfoa |
tests/framework/PostProcessors/BasicStatistics/test_median_and_percentile.xml
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@PaulTalbot-INL @dylanjm this PR causes Diff Failures on HERON plugin tests. |
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@JiaZhou-PU can you update the issue #1225 (#1225) regarding the new features. I will update the Wiki page (Changelog) at https://github.com/idaholab/raven/wiki/RAVEN-Time-Line |
tests/framework/PostProcessors/BasicStatistics/test_median_and_percentile.xml
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@joshua-cogliati-inl I approved Jia PR. I think we are good to go. |
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Checklist passed... PR can be approved... Comments have been addressed... Merging... |
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Plugin tests (HERON Ref Issue idaholab/HERON#42 ) are failing. The HERON team has been notified via email |
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I think we still need to send out an email to the users' list since this changes calculation results. |
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Yes agree! @JiaZhou-PU can you draft an email and send it? |
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Wait, so did we completely remove the option to take the median from the population for odd-numbered sets? I must have missed some of the conversations.
EDIT: I checked 1339, apparently the answer is yes, we've removed the existing option until someone adds it back in. Just in case someone else goes looking for the same question.
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see #1339 1339 |
Pull Request Description
What issue does this change request address? (Use "#" before the issue to link it, i.e., #42.)
closes #1259
What are the significant changes in functionality due to this change request?
Add financial metric:
Sharpe ratio risk-free rate as 0
Sortino ratio
gain loss ratio:
the first-order higher partial moment of a portfolio's returns, divided by the first-order lower partial moment of a portfolio's returns.
value at risk
conditional value at risk
Fixed the percentile calculation with shift one index upper.
For Change Control Board: Change Request Review
The following review must be completed by an authorized member of the Change Control Board.
<internalParallel>to True.raven/tests/framework/user_guideandraven/docs/workshop) have been changed, the associated documentation must be reviewed and assured the text matches the example.