DoubleColumn.java

package com.activequant.timeseries;

import java.util.List;

public class DoubleColumn extends TypedColumn<Double> {

	private static final long serialVersionUID = 1L;
	private double[] doubleCache = null;

	public DoubleColumn(List<Double> list) {
		super(list);
	}

	public DoubleColumn() {
		super();
	}

	public double[] asDouble() {
		if (doubleCache == null || isDirty()) {
			doubleCache = new double[size()];
			for (int i = 0; i < doubleCache.length; i++) {
				if (get(i) != null)
					doubleCache[i] = get(i);
			}
			setClean();
		}
		return doubleCache;
	}

	/**
	 * Calculates the cumulated sum. if a value is null, it is ignored and treated like 0.0. 
	 * 
	 * @return a new column with cumsums
	 */
	public DoubleColumn cumsum() {
		DoubleColumn ret = new DoubleColumn();
		Double currentVal = null;
		for (int i = 0; i < super.size(); i++) {
			Double val = super.get(i);
			if (currentVal != null && val != null) {
				currentVal += val;
			} else if(currentVal == null)
				currentVal = val; 
			else
				currentVal = currentVal;

			ret.add(currentVal);
		}
		return ret;
	}

	/**
	 * Calculates the sum
	 * 
	 * @return
	 */
	public Double sum() {
		Double currentVal = null;
		for (int i = 0; i < super.size(); i++) {
			if (currentVal == null)
				currentVal = super.get(i);
			if (currentVal != null && i > 0 && super.get(i) != null) {
				currentVal = currentVal + super.get(i);
			}
		}
		return currentVal;
	}

	/**
	 * multiplies each data point by factor. used to scale a data series for
	 * comparison purposes.
	 * 
	 * @return
	 */
	public DoubleColumn multiply(Double value) {
		DoubleColumn ret = new DoubleColumn();
		for (int i = 0; i < super.size(); i++) {
			ret.add(i, super.get(i) == null ? 0 : super.get(i) * value);
		}
		return ret;
	}

	/*
	 * makes this + second doublecolumn
	 */
	public DoubleColumn add(DoubleColumn other) {
		if (super.size() != other.size()) {
			throw new IllegalArgumentException(
					"The columns sizes are different. They must be the same.");
		}
		DoubleColumn ret = new DoubleColumn();
		for (int i = 0; i < super.size(); i++) {
			ret.add((super.get(i) == null ? 0 : super.get(i))
					+ (other.get(i) == null ? 0 : other.get(i)));
		}
		return ret;
	}

	public DoubleColumn returns() {
		DoubleColumn ret = new DoubleColumn();
		ret.add(0, null);
		for (int i = 1; i < this.size(); i++) {
			Double currentVal = this.get(i);
			Double formerVal = this.get(i - 1);
			if (formerVal != null) {
				ret.add(i, (currentVal - formerVal) / formerVal);
			}
		}
		return ret;
	}

	// mean of returns
	public Double mean() {
		Double sum = 0.0;
		for (int i = 1; i < this.size(); i++) {
			sum = sum + (this.get(i) - this.get(i - 1)) / this.get(i - 1);
		}
		return sum / (this.size() - 1);
	}

	// standard deviation of returns
	public Double std() {
		Double sum1 = 0.0;
		Double sum2 = 0.0;
		for (int i = 1; i < this.size(); i++) {
			Double ret = (this.get(i) - this.get(i - 1)) / this.get(i - 1);
			sum1 = sum1 + ret;
			sum2 = sum2 + ret * ret;
		}
		Double var = sum2 / (this.size() - 1) - (sum1 / (this.size() - 1))
				* (sum1 / (this.size() - 1));
		Double std = Math.sqrt(var);
		return Math.sqrt(var);
	}

	// maximum drawdown
	// implementation is taken from
	// http://en.wikipedia.org/wiki/Drawdown_%28economics%29
	// except multiplier 100 on dd calculation line - MATLAB does not use this
	// multiplier
	// test is taken from matlab
	public Double maxDrawdown() {
		Double mdd = 0.0;
		Double peak = -Double.MAX_VALUE;
		Double dd = 0.0;

		for (int i = 0; i < this.size(); i++) {
			if (this.get(i) > peak) {
				peak = this.get(i);
			} else {
				dd = (peak - this.get(i)) / peak;
				if (dd > mdd) {
					mdd = dd;
				}
			}
		}
		return mdd;
	}

	// can not have from/to timestamp parameters,
	// because there is no timestamps column
	public Integer maxRecoveryTime() {
		Integer maxPeriod = 0;
		Integer currentLength = 0;
		Double currentVal = Double.MIN_VALUE;

		for (int i = 0; i < this.size(); i++) {
			if (this.get(i) < currentVal) {
				currentLength = currentLength + 1;
			}
			if (this.get(i) > currentVal) {
				currentLength = 0;
				currentVal = this.get(i);
			}
			if (currentLength > maxPeriod) {
				maxPeriod = currentLength;
			}
		}
		return maxPeriod;
	}
}