massive refactoring, rem old projs

PairTradingView.Infrastructure/FinancialPair.cs

@@ -14,8 +14,8 @@ You may obtain a copy of the License at
 limitations under the License.
 */
 
-using Statistics;
-using Statistics.Models;
+using PairTradingView.Shared.Statistics;
+using PairTradingView.Shared.Statistics.Models;
 using System;
 using System.Collections.Generic;
 using System.Linq;
@@ -53,7 +53,7 @@ public FinancialPair(Stock x, Stock y)
         protected void SetRegression(double[] x, double[] y)
         {
             Regression = new LinearRegression();
-            Regression.Compute(y.ToDecimal(), x.ToDecimal());
+            Regression.Compute(y, x);
         }
 
         protected void SetValues()
@@ -63,11 +63,11 @@ protected void SetValues()
 
             if (Regression.RValue >= 0)
             {
-                DeltaValues = x.Zip(y, (i, j) => j - i * Regression.Beta.ToDouble()).ToArray();
+                DeltaValues = x.Zip(y, (i, j) => j - i * Regression.Beta).ToArray();
             }
             else
             {
-                DeltaValues = x.Zip(y, (i, j) => j + i * Regression.Beta.ToDouble()).ToArray();
+                DeltaValues = x.Zip(y, (i, j) => j + i * Regression.Beta).ToArray();
             }
         }
 

PairTradingView.Infrastructure/PairTradingView.Shared.csproj

@@ -33,9 +33,6 @@
     <Prefer32Bit>false</Prefer32Bit>
   </PropertyGroup>
   <ItemGroup>
-    <Reference Include="Statistics">
-      <HintPath>..\..\statistics\Statistics\bin\Debug\Statistics.dll</HintPath>
-    </Reference>
     <Reference Include="System" />
     <Reference Include="System.Core" />
     <Reference Include="System.Xml.Linq" />
@@ -51,8 +48,18 @@
     <Compile Include="FinancialPair.cs" />
     <Compile Include="ILogger.cs" />
     <Compile Include="Logger.cs" />
-    <Compile Include="MathUtils.cs" />
-    <Compile Include="MovingAverages.cs" />
+    <Compile Include="Statistics\DifferentLengthException.cs" />
+    <Compile Include="Statistics\IRegression.cs" />
+    <Compile Include="Statistics\IRegressionMethod.cs" />
+    <Compile Include="Statistics\MathUtils.cs" />
+    <Compile Include="Statistics\Matrix.cs" />
+    <Compile Include="Statistics\Methods\BasicRegression.cs" />
+    <Compile Include="Statistics\Methods\OrdinaryLeastSquares.cs" />
+    <Compile Include="Statistics\Models\AutoRegression.cs" />
+    <Compile Include="Statistics\Models\LinearRegression.cs" />
+    <Compile Include="Statistics\Models\LogitRegression.cs" />
+    <Compile Include="Statistics\Models\MultipleLinearRegression.cs" />
+    <Compile Include="Statistics\MovingAverages.cs" />
     <Compile Include="RiskManager.cs" />
     <Compile Include="Stock.cs" />
     <Compile Include="Properties\AssemblyInfo.cs" />

PairTradingView.Infrastructure/RiskManager.cs

@@ -14,8 +14,7 @@ You may obtain a copy of the License at
 limitations under the License.
 */
 
-using Statistics;
-using Statistics.Models;
+using PairTradingView.Shared.Statistics.Models;
 using System;
 using System.Collections.Generic;
 using System.Linq;
@@ -76,9 +75,9 @@ public void Calculate()
             foreach (var pair in pairs)
             {
                 var regression = new LinearRegression();
-                regression.Compute(pair.DeltaValues.ToDecimal(), synthIndex.ToDecimal());
+                regression.Compute(pair.DeltaValues, synthIndex);
 
-                pair.Weight = 1 / (1 + Math.Abs(regression.Beta.ToDouble()));
+                pair.Weight = 1 / (1 + Math.Abs(regression.Beta));
 
                 summary += pair.Weight;
             }
@@ -91,7 +90,7 @@ public void Calculate()
 
             foreach (var pair in pairs)
             {
-                double beta = pair.Regression.Beta.ToDouble();
+                double beta = pair.Regression.Beta;
                 double weight = 1.0 / (1.0 + Math.Abs(beta));
 
                 pair.X.TradeVolume = pair.TradeVolume * (weight * Math.Abs(beta));

PairTradingView.Infrastructure/Statistics/DifferentLengthException.cs

@@ -0,0 +1,25 @@
+/*
+Copyright(c) 2023 Denis Lebedev
+
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing, software
+distributed under the License is distributed on an "AS IS" BASIS,
+WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+See the License for the specific language governing permissions and
+limitations under the License.
+*/
+
+using System;
+
+namespace PairTradingView.Shared.Statistics
+{
+    [Serializable]
+    public class DifferentLengthException : Exception
+    {
+    }
+}

PairTradingView.Infrastructure/Statistics/IRegression.cs

@@ -0,0 +1,23 @@
+/*
+Copyright(c) 2023 Denis Lebedev
+
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing, software
+distributed under the License is distributed on an "AS IS" BASIS,
+WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+See the License for the specific language governing permissions and
+limitations under the License.
+*/
+
+namespace PairTradingView.Shared.Statistics
+{
+    public interface IRegression
+    {
+        IRegressionMethod RegressionMethod { get; }
+    }
+}

PairTradingView.Infrastructure/Statistics/IRegressionMethod.cs

@@ -0,0 +1,27 @@
+/*
+Copyright(c) 2023 Denis Lebedev
+
+Licensed under the Apache License, Version 2.0 (the "License");
+you may not use this file except in compliance with the License.
+You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+Unless required by applicable law or agreed to in writing, software
+distributed under the License is distributed on an "AS IS" BASIS,
+WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+See the License for the specific language governing permissions and
+limitations under the License.
+*/
+
+namespace PairTradingView.Shared.Statistics
+{
+    public interface IRegressionMethod
+    {
+        double[] Coefs { get; }
+        double[] RSquaredValues { get; }
+        double[] RValues { get; }
+
+        void Compute(double[] y, params double[][] xn);
+    }
+}

PairTradingView.Infrastructure/MathUtils.cs → PairTradingView.Infrastructure/Statistics/MathUtils.cs

@@ -14,13 +14,63 @@ You may obtain a copy of the License at
 limitations under the License.
 */
 
+
 using System;
 using System.Linq;
 
-namespace PairTradingView.Shared
+namespace PairTradingView.Shared.Statistics
 {
     public static class MathUtils
     {
+        public static double[] GetError(double[] values)
+        {
+            double[] result = new double[values.Length - 1];
+
+            for (int i = 1; i < values.Length; i++)
+            {
+                result[i - 1] = values[i] - values[i - 1];
+            }
+
+            return result;
+        }
+
+        public static double MultiplyArrays(double[] x, double[] y)
+        {
+            if (x == null) throw new ArgumentNullException("x");
+            if (y == null) throw new ArgumentNullException("y");
+
+            if (x.Length != y.Length)
+                throw new DifferentLengthException();
+
+            double result = 0;
+
+            for (int i = 0; i < x.Length; i++)
+            {
+                result += x[i] * y[i];
+            }
+
+            return result;
+        }
+
+        public static double Pow(double value, double power)
+        {
+            return (double)Math.Pow((double)value, power);
+        }
+
+        public static double Pow(double[] values, double power)
+        {
+            if (values == null) throw new ArgumentNullException("values");
+
+            double result = 0;
+
+            for (int i = 0; i < values.Length; i++)
+            {
+                result += Math.Pow(values[i], power);
+            }
+
+            return result;
+        }
+
         public static double GetStandardDeviation(double[] values)
         {
             if (values == null) throw new ArgumentNullException("values");