utils.py

from math import log, sqrt


# Calculate Log Return
def calculate_log_return(start_price, end_price):
  return log(end_price / start_price)


# Calculate Variance
def calculate_variance(dataset):
  mean = sum(dataset) / len(dataset)

  numerator = 0

  for data in dataset:
    numerator += (data - mean) ** 2

  return numerator / len(dataset)


# Calculate Standard Deviation
def calculate_stddev(dataset):
  variance = calculate_variance(dataset)
  return sqrt(variance)


# Calculate Correlation Coefficient
def calculate_correlation(set_x, set_y):
  sum_x = sum(set_x)
  sum_y = sum(set_y)

  sum_x2 = sum([x ** 2 for x in set_x])
  sum_y2 = sum([y ** 2 for y in set_y])

  sum_xy = sum([x * y for x, y in zip(set_x, set_y)])

  n = len(set_x)

  numerator = n * sum_xy - sum_x * sum_y
  denominator = sqrt((n * sum_x2 - sum_x ** 2) * (n * sum_y2 - sum_y ** 2))

  return numerator / denominator