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https://issues.apache.org/jira/browse/MATH-323?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=12793669#action_12793669
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Phil Steitz commented on MATH-323:
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First, thanks for the patch. I am having a hard time validating the computing
formula, based on the description in the references. The formula provided in
the Wikipedia reference appears to be different from what the patch is
computing. That is OK if what we want to compute is something different. We
can provide the formula directly in the javadoc. But if there is a standard
formula, we should try to implement something equivalent.
If the intent is to estimate the Sortino ratio, it would seem to me that the
values above the mean should be excluded, rather than collapsed to the mean.
If I understand correctly what the code is trying to compute, these values
should be excluded, not recoded. The Sortino ratio also would seem to require
another parameter - the "target" return value. I guess this is why in your
application you shift the mean to zero?
Thanks again for the patch and sorry for the delay reviewing it.
Two comments on the code in the latest patch:
1) the mean() function (actually the Mean statistic) will perform the array
bounds check, so if you move that outside the if statement, you can eliminate
the test function.
2) If this is a widely used statistic and/or the computation becomes any more
involved than the patch, we should implement a UnivariateStatisic class to
represent it.
> Add Semivariance calculation
> ----------------------------
>
> Key: MATH-323
> URL: https://issues.apache.org/jira/browse/MATH-323
> Project: Commons Math
> Issue Type: New Feature
> Affects Versions: 2.1
> Reporter: Larry Diamond
> Assignee: Phil Steitz
> Priority: Minor
> Fix For: 2.1
>
> Attachments: patch.txt, patch2.txt, StatUtils.java, StatUtils.java,
> StatUtilsTest.java, StatUtilsTest.java
>
>
> I've added semivariance calculations to my local build of commons-math and I
> would like to contribute them.
> Semivariance is described a little bit on
> http://en.wikipedia.org/wiki/Semivariance , but a real reason you would use
> them is in finance in order to compute the Sortino ratio rather than the
> Sharpe ratio.
> http://en.wikipedia.org/wiki/Sortino_ratio gives an explanation of the
> Sortino ratio and why you would choose to use that rather than the Sharpe
> ratio. (There are other ways to measure the performance of your portfolio,
> but I wont bore everybody with that stuff)
> I've already got the coding completed along with the test cases and building
> using mvn site.
> The only two files I've modified is
> src/main/java/org/apache/commons/stat/StatUtils.java and
> src/test/java/org/apache/commons/math/stat/StatUtilsTest.java
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