getRSquared

get-r-squared.js

    public static getRSquared(transactions: Transaction[], fromBar: number, toBar: number): number {
        if (transactions.length === 0 ||
            transactions[0].bar >= toBar ||
            transactions[transactions.length - 1].bar < fromBar) {
            return 0;
        }

        let startIndex: number = 0;
        if (fromBar > 0) {
            for (let i: number = 0; i < transactions.length; i++) {
                const transaction: Transaction = transactions[i];
                if (transaction.bar >= fromBar) {
                    startIndex = i;
                    break;
                }
            }
        }

        let endIndex: number = transactions.length - 1;
        if (transactions[endIndex].bar >= toBar) {
            for (let i: number = endIndex; i >= startIndex; i--) {
                if (transactions[i].bar < toBar) {
                    endIndex = i;
                    break;
                }
            }
        }

        let minBalance: number = transactions[0].balance;
        for (let i: number = startIndex; i <= endIndex; i++) {
            if (transactions[i].balance < minBalance) {
                minBalance = transactions[i].balance;
            }
        }

        let sumX: number = 0;
        let sumY: number = 0;
        let sumXX: number = 0;
        let sumYY: number = 0;
        let sumXY: number = 0;

        let count: number = 0;
        for (let i: number = startIndex; i <= endIndex; i++) {
            const transaction: Transaction = transactions[i];
            if (transaction.type === TransactionType.Close ||
                transaction.type === TransactionType.StopLoss ||
                transaction.type === TransactionType.TakeProfit) {
                const x: number = transaction.bar - fromBar + 1;
                const y: number = transaction.balance - minBalance + 1;
                sumX += x;
                sumY += y;
                sumXX += x * x;
                sumYY += y * y;
                sumXY += x * y;
                count++;
            }
        }

        if (count < 2) {
            return 0;
        }

        const r: number = (count * sumXY - sumX * sumY) / Math.sqrt(count * sumXX - sumX * sumX) / Math.sqrt(count * sumYY - sumY * sumY);
        const r5: number = Math.pow(r, 5);

        return 100 * r5;
    }