/*
 * Copyright (c) 2015, StrategyQuant - All rights reserved.
 *
 * Code in this file was made in a good faith that it is correct and does what it should. 
 * If you found a bug in this code OR you have an improvement suggestion OR you want to include 
 * your own code snippet into our standard library please contact us at:
 * http://tasks.strategyquant.com/projects/snippets/
 *
 * This code can be used only within StrategyQuant products. 
 * Every owner of valid (free, trial or commercial) license of any StrategyQuant product 
 * is allowed to freely use, copy, modify or make derivative work of this code without limitations,
 * to be used in all StrategyQuant products and share his/her modifications or derivative work 
 * with the StrategyQuant community.
 *  
 * THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, 
 * INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR 
 * PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS BE LIABLE FOR ANY CLAIM, DAMAGES 
 * OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, 
 * OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
 *  
 */
package com.strategyquant.extend.StatValues;

import java.util.ArrayList;

import com.strategyquant.extend.Functions.StatFunctions;
import com.strategyquant.lib.results.SQOrder;
import com.strategyquant.lib.results.SQOrderList;
import com.strategyquant.lib.results.SQStats;
import com.strategyquant.lib.results.StatValue;
import com.strategyquant.lib.results.StatsConst;
import com.strategyquant.lib.results.StatsTypeCombination;
import com.strategyquant.lib.settings.SQSettings;
import com.strategyquant.lib.utils.SQUtils;

/**
 * Important! AHHPR and Sharpe ratio don't use TWR % PL but original % PL
 *  
 * @author Mark Fric
 *
 */
public class SharpeAHPRValues extends StatValue {

	private ArrayList<Double> holdingPeriodReturn;

	@Override
	public void initCompute(SQStats stats, StatsTypeCombination combination, SQOrderList ordersList, SQSettings settings, SQStats statsLong, SQStats statsShort) throws Exception {
		holdingPeriodReturn = new ArrayList<Double>();
	}

	@Override
	public void computeForOrder(SQStats stats, StatsTypeCombination combination, SQOrder order, SQSettings settings, SQStats statsLong, SQStats statsShort) throws Exception {
		holdingPeriodReturn.add(order.PctPL);
	}

	private StatFunctions statFunctions = new StatFunctions();
	
	@Override
	public void endCompute(SQStats stats, StatsTypeCombination combination, SQOrderList ordersList, SQSettings settings, SQStats statsLong, SQStats statsShort) throws Exception {
		double AHPR = SQUtils.round2(statFunctions.computeAverage(holdingPeriodReturn));
		
        double SHPR = statFunctions.computeStdev(AHPR, holdingPeriodReturn);
        
        double sharpeRatio = SQUtils.safeDivide(AHPR, SHPR); // this is monthly sharpe ratio
        // to get yearly sharpe ratiowe have to use formula: yearly sharpe ratio = monthly sharpe ratio * sqrt(12)

		stats.set(StatsConst.AHPR, SQUtils.round2(AHPR));
		stats.set(StatsConst.SHARPE_RATIO, SQUtils.round2(sharpeRatio));
		
		holdingPeriodReturn = null;
	}
}