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StatsEngine Function Overview

This file documents all available statistical functions grouped by category.

📈 Returns

  • computeDailyReturns(series) – Computes daily log or simple returns.
  • computeTotalReturn(series) – Calculates the overall return.
  • computeAnnualizedReturn(totalReturn, numPeriods, periodsPerYear) – Annualized compound growth rate.

📊 Risk & Volatility

  • portfolioVariance(covMatrix, weights) – Portfolio variance via matrix math.
  • computeSharpeRatio(expectedReturn, volatility, riskFreeRate)
  • computeSortinoRatio(expectedReturn, riskFreeRate, returns)
  • computeRollingVolatility(returns, window)
  • computeAnnualizedVolatility(returns, periodsPerYear)

📉 Drawdowns

  • computeMaxDrawdown(cumulativeReturns)
  • computeAverageDrawdown(cumulativeReturns)
  • computeMaxRecoveryTime(cumulativeReturns)

📚 Ratios

  • computeAlpha(...) – Two overloads, with or without beta input.
  • computeBeta(asset, benchmark)
  • computeTreynorRatio(expectedReturn, riskFree, beta)
  • computeInformationRatio(portfolioReturns, benchmarkReturns)
  • computeCalmarRatio(annualReturn, maxDrawdown)
  • computeSterlingRatio(avgReturn, riskFree, avgDrawdown)
  • computeOmegaRatio(returns, threshold)

🔁 Rolling Metrics

  • computeRollingSharpe(...)
  • computeRollingSortino(...)
  • computeRollingStandardDeviation(...)

🧠 Distribution Metrics

  • computeSkewness(returns)
  • computeKurtosis(returns)
  • computeGainLossRatio(returns)
  • computeHitRatio(returns)

📈 Capture Metrics

  • computeUpsideCaptureRatio(portfolio, benchmark)
  • computeDownsideCaptureRatio(portfolio, benchmark)

🧮 Moving Averages

  • simpleMovingAverage(values, window)
  • exponentialMovingAverage(values, window)

🧪 Utilities

  • exportToCSV(filename, headers, data)

For detailed usage and testing, see tests/stats/.