19116466348

Committed 05 Nov 2025 09:12PM UTC coverage: 35.004% (-23.2%) from 58.251%

Build # 19116466348

Build Type

push

github

Committed by

web-flow

Commit Message

Merge pull request #37 from moconnell/36-feat-support-pure-unravel-factor-trading

Feat: support pure Unravel trading

Run Details

107 of 364 branches covered (29.4%)

Branch coverage included in aggregate %.

30 of 368 new or added lines in 9 files covered. (8.15%)

1 existing line in 1 file now uncovered.

284 of 753 relevant lines covered (37.72%)

15.24 hits per line

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0.0

/src/YoloAbstractions/Extensions/VolatilityExtensions.cs

using System;
using System.Collections.Generic;
using System.Linq;

namespace YoloAbstractions.Extensions;

public static class VolatilityExtensions
{
    /// <summary>
    /// Calculates the annualized volatility of a series of closing prices.
    /// </summary>
    /// <param name="closes">Sequence of closing prices (oldest to newest).</param>
    /// <param name="periodsPerYear">
    /// Number of periods per year (252 for equities, 365 for crypto daily data).
    /// </param>
    public static double AnnualizedVolatility(this IEnumerable<decimal> closes, int periodsPerYear = 365)
    {
        var prices = closes.ToList();
        if (prices.Count < 2)
            throw new ArgumentException("At least two closing prices are required.");
        if (prices.Any(x => x <= 0))
            throw new ArgumentException("All closing prices must be positive.");
        if (periodsPerYear <= 0)
            throw new ArgumentOutOfRangeException(nameof(periodsPerYear), periodsPerYear, "Periods per year must be positive.");
        if (periodsPerYear > 365)
            throw new ArgumentOutOfRangeException(nameof(periodsPerYear), periodsPerYear, "Periods per year must be less than 366.");

        // Compute log returns
        var logReturns = new List<double>(prices.Count - 1);
        for (var i = 1; i < prices.Count; i++)
        {

            var r = Math.Log((double) (prices[i] / prices[i - 1]));
            logReturns.Add(r);
        }

        // Standard deviation of log returns
        var mean = logReturns.Average();
        var variance = logReturns.Average(r => Math.Pow(r - mean, 2));
        var stdev = Math.Sqrt(variance);

        // Annualize
        return stdev * Math.Sqrt(periodsPerYear);
    }
}

1	using System;
2	using System.Collections.Generic;
3	using System.Linq;
4
5	namespace YoloAbstractions.Extensions;
6
7	public static class VolatilityExtensions
8	{
9	/// <summary>
10	/// Calculates the annualized volatility of a series of closing prices.
11	/// </summary>
12	/// <param name="closes">Sequence of closing prices (oldest to newest).</param>
13	/// <param name="periodsPerYear">
14	/// Number of periods per year (252 for equities, 365 for crypto daily data).
15	/// </param>
16	public static double AnnualizedVolatility(this IEnumerable<decimal> closes, int periodsPerYear = 365)
NEW 17	{	×
NEW 18	var prices = closes.ToList();	×
NEW 19	if (prices.Count < 2)	×
NEW 20	throw new ArgumentException("At least two closing prices are required.");	×
NEW 21	if (prices.Any(x => x <= 0))	×
NEW 22	throw new ArgumentException("All closing prices must be positive.");	×
NEW 23	if (periodsPerYear <= 0)	×
NEW 24	throw new ArgumentOutOfRangeException(nameof(periodsPerYear), periodsPerYear, "Periods per year must be positive.");	×
NEW 25	if (periodsPerYear > 365)	×
NEW 26	throw new ArgumentOutOfRangeException(nameof(periodsPerYear), periodsPerYear, "Periods per year must be less than 366.");	×
27
28	// Compute log returns
NEW 29	var logReturns = new List<double>(prices.Count - 1);	×
NEW 30	for (var i = 1; i < prices.Count; i++)	×
NEW 31	{	×
32
NEW 33	var r = Math.Log((double) (prices[i] / prices[i - 1]));	×
NEW 34	logReturns.Add(r);	×
NEW 35	}	×
36
37	// Standard deviation of log returns
NEW 38	var mean = logReturns.Average();	×
NEW 39	var variance = logReturns.Average(r => Math.Pow(r - mean, 2));	×
NEW 40	var stdev = Math.Sqrt(variance);	×
41
42	// Annualize
NEW 43	return stdev * Math.Sqrt(periodsPerYear);	×
NEW 44	}	×
45	}

moconnell / yolo / 19116466348

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