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fix: avoid decimal overflow in portfolio statistics alpha #9861

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Merged
Martin-Molinero merged 1 commit into from
Oct 2, 2026
+21 −1
Merged

fix: avoid decimal overflow in portfolio statistics alpha #9861

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2 changes: 1 addition & 1 deletion Common/Statistics/PortfolioStatistics.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -299,7 +299,7 @@ public PortfolioStatistics(
var benchmarkVariance = listBenchmark.Variance();
Beta = benchmarkVariance.IsNaNOrZero() ? 0 : (decimal)(listPerformance.Covariance(listBenchmark) / benchmarkVariance);

Alpha = Beta == 0 ? 0 : annualPerformance - (riskFreeRate + Beta * (benchmarkAnnualPerformance - riskFreeRate));
Alpha = Beta == 0 ? 0 : Extensions.SafeDecimalCast((double)annualPerformance - ((double)riskFreeRate + (double)Beta * ((double)benchmarkAnnualPerformance - (double)riskFreeRate)));

TrackingError = (decimal)Statistics.TrackingError(listPerformance, listBenchmark, (double)tradingDaysPerYear);

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20 changes: 20 additions & 0 deletions Tests/Common/Statistics/PortfolioStatisticsTests.cs
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Expand Up @@ -186,6 +186,26 @@ public void PortfolioStatisticsDoesNotFailWhenAnnualPerformanceIsLarge()
Assert.DoesNotThrow(() => new PortfolioStatistics(profitLoss, equity, portfolioTurnover, listPerformance, listBenchmark, startingCapital, riskFreeInterestRateModel, tradingDaysPerYear));
}

[Test]
public void PortfolioStatisticsDoesNotFailWhenAlphaExceedsDecimalRange()
{
var profitLoss = new SortedDictionary<DateTime, decimal>();
var equity = new SortedDictionary<DateTime, decimal>();
var portfolioTurnover = new SortedDictionary<DateTime, decimal>();
// A deposit into a live account shows up as one huge daily return, which caps the annual performance at decimal.MaxValue
var listPerformance = new List<double>() { 0.001, 0.004, 1.56, 0.002 };
// The benchmark rises on the deposit day and falls overall, so beta is large and the benchmark term of alpha is negative
var listBenchmark = new List<double>() { -0.004, -0.006, 0.005, -0.003 };
var startingCapital = 100000;
var riskFreeInterestRateModel = new InterestRateProvider();
var tradingDaysPerYear = 252;

var statistics = default(PortfolioStatistics);
Assert.DoesNotThrow(() => statistics = new PortfolioStatistics(profitLoss, equity, portfolioTurnover, listPerformance, listBenchmark, startingCapital, riskFreeInterestRateModel, tradingDaysPerYear));

Assert.AreEqual(decimal.MaxValue, statistics.Alpha);
}

/// <summary>
/// Initialize and return Portfolio Statistics depends on input data
/// </summary>
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