statsArb

func CalcBetaHat ¶

func CalcBetaHat(l1, l2 []float64) (float64, error)

CalcBetaHat estimates beta hat

func CalcDist ¶

func CalcDist(l1, l2 []float64) (float64, error)

func CalcEffectiveStandardDeviation ¶

func CalcEffectiveStandardDeviation(betaHat, hedgeRatio, sigmaHat float64) float64

CalcEffectiveStandardDeviation ...

func CalcHedgeRatio ¶

func CalcHedgeRatio(betaHat, sigmaHat float64) float64

CalcHedgeRatio ...

func CalcNotes ¶ added in v0.0.3

func CalcNotes(l1, l2 []float64) ([]float64, error)

func CalcSigmaHat ¶

func CalcSigmaHat(l1, l2 []float64, beta float64) (float64, error)

CalcSigmaHat ...

func CalcSpread ¶

func CalcSpread(p, q, hedgeRatio float64) float64

func CalcSpreadReturn ¶

func CalcSpreadReturn(p, q, hedgeRatio float64) float64

func OptimalPercentPortfolio ¶

func OptimalPercentPortfolio(chanceOfWin, avgWin, avgLoss float64) float64

OptimalPercentPortfolio ...

func OptimalStopLoss ¶

func OptimalStopLoss(M, gain, loss, probCorrect float64) float64

OptimalStopLoss ...

func OptimalVarStopLoss ¶

func OptimalVarStopLoss(b, variance, entry float64) (float64, float64)

OptimalVarStopLoss ... return is long / short

func StdDev ¶

func StdDev(l1, weights []float64) (float64, error)

StdDev calculates the standard deviation

func ZNorm ¶

func ZNorm(l1 []float64) ([]float64, error)

ZNorm calculates the ZNormalized list defined as Z = ( x - mean ) / std