quant-zero/src/utils/maths/covariance.ts

Node-Quant is a powerful Node.js package for developing and testing quantitative trading strategies in cryptocurrency markets, offering tools for backtesting and performance analysis.

export function calcCovariance(returns: number[], marketReturn: number) {
  const meanReturn = returns.reduce((sum, r) => sum + r, 0) / returns.length
  return (
    returns.reduce(
      (cov, r) => cov + (r - meanReturn) * (marketReturn - meanReturn),
      0,
    ) / returns.length
  )
}