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…555) The previous implementation computed: σ_t = sqrt((1-α)*σ_{t-1}² + α*x_t²) which is the root mean square of raw values. For a series like 1..50, this returns values near the mean (~45), not the standard deviation (~5). The fix tracks the EWM mean and uses deviations from it: mean_t = (1-α)*mean_{t-1} + α*x_t var_t = (1-α)*var_{t-1} + α*(x_t - mean_{t-1})² σ_t = sqrt(var_t) ewmCovMatrix is updated consistently to subtract the EWM mean vector so that the diagonal of ewmCovMatrix still equals ewmVar (property preserved). The existing test expected value for annualVol (0.14437 → 0.14553) is updated to reflect the correct computation on stock returns with non-zero means. A regression test for issue #555 is added. Co-authored-by: Copilot <[email protected]>
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/repo-assist adjust this by deprecating the old function and repacing it with two functions that make the two cases clearer ewmVolStdDev and ewmVolRMS Add testing for both |
- Add ewmVolStdDev (mean-corrected standard deviation, current behaviour) - Add ewmVolRMS (root-mean-square, no mean correction) - Both overloads for Series and Frame - Mark ewmVol as [<Obsolete>] pointing to the two new functions - Update ewmVar to call ewmVolStdDev directly - Add tests for ewmVolStdDev and ewmVolRMS Co-authored-by: Copilot <[email protected]>
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🤖 Repo Assist here — updated as requested. I've pushed the refactoring to this branch:
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/repo-assist The behaviour of ewmVol should remain unchanged from current main, we're marking it obsolete and redirecting people to avoid a difficult breaking change for consumers Also fix all the XML docs in the file that contain |
- ewmVol (Series/Frame): restore original RiskMetrics RMS formula from main, preserving exact backward-compatible behavior for existing consumers - ewmVol: update Obsolete message to redirect to ewmVolRMS (same formula) or ewmVolStdDev (mean-corrected standard deviation) - ewmVol Frame: inline original RMS logic to avoid internal deprecation warning - Fix all [category: ...] style XML doc comments to proper <category>...</category> XML format (ewmVolRMS x2, ewmVol x2) - Rename misleading test name from 'ewmVol on non-returns...' to 'ewmVolStdDev on non-returns...' since it tests ewmVolStdDev Co-authored-by: Copilot <[email protected]>
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dsyme
approved these changes
Mar 9, 2026
dsyme
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🤖 This PR was created by Repo Assist, an automated AI assistant.
Summary
Fixes
Finance.ewmVolreturning values near the series mean instead of the standard deviation — as reported in #555.Root Cause
The old formula computed the exponentially weighted root mean square of raw values:
This matches the formula used by
pandas.ewm(adjust=False).std()in structure (without the bias correction that Pandas applies by default).ewmCovMatrixis updated consistently to subtract the EWM mean vector, preserving the invariant that the diagonal ofewmCovMatrixequalsewmVar.Changes
src/Deedle.Math/Finance.fs: FixewmVolandewmCovMatrixformulastests/Deedle.Math.Tests/Finance.fs: Add regression test; update expectedannualVolfrom0.14437→0.14553(the old value was computed using the incorrect formula applied to stock returns with non-zero means)Test Status
Build: ✅ Both
DeedleandDeedle.Mathcompile successfully.Tests: The test runner requires .NET 5.0 which is not available in this environment (only .NET 8/9/10 are present — infrastructure issue). Logic was validated by running an F# script directly against the compiled DLLs:
ewmVolon1..50with span=10 → 5.50 (old formula: 45.5 = same as mean) ✅ewmVarvs diagonal ofewmCovMatrix) → diff = ~1e-19 ✅Closes #555