chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,102 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
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* distributed under the License is distributed on an "AS IS" BASIS,
|
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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||||
* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Linq;
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using Moq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Tests.Algorithm.Framework.Risk
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{
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[TestFixture]
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public class MaximumDrawdownPercentPerSecurityTests
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{
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[Test]
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[TestCase(Language.CSharp, 0.1, false, 0, 0, false)]
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[TestCase(Language.CSharp, 0.1, true, -50, 1000, false)]
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[TestCase(Language.CSharp, 0.1, true, -100, 1000, false)]
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[TestCase(Language.CSharp, 0.1, true, -150, 1000, true)]
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[TestCase(Language.Python, 0.1, false, 0, 0, false)]
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[TestCase(Language.Python, 0.1, true, -50, 1000, false)]
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[TestCase(Language.Python, 0.1, true, -100, 1000, false)]
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[TestCase(Language.Python, 0.1, true, -150, 1000, true)]
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public void ReturnsExpectedPortfolioTarget(
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Language language,
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decimal maxDrawdownPercent,
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bool invested,
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decimal unrealizedProfit,
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decimal absoluteHoldingsCost,
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bool shouldLiquidate)
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{
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var security = new Mock<Equity>(
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Symbols.AAPL,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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Exchange.UNKNOWN
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);
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security.Setup(m => m.Invested).Returns(invested);
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var holding = new Mock<EquityHolding>(security.Object,
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new IdentityCurrencyConverter(Currencies.USD));
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holding.Setup(m => m.UnrealizedProfit).Returns(unrealizedProfit);
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holding.Setup(m => m.AbsoluteHoldingsCost).Returns(absoluteHoldingsCost);
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holding.Setup(m => m.UnrealizedProfitPercent).Returns(absoluteHoldingsCost == 0m? 0m : unrealizedProfit / absoluteHoldingsCost);
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security.Object.Holdings = holding.Object;
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.Securities.Add(Symbols.AAPL, security.Object);
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if (language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(MaximumDrawdownPercentPerSecurity);
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var instance = Py.Import(name).GetAttr(name).Invoke(maxDrawdownPercent.ToPython());
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var model = new RiskManagementModelPythonWrapper(instance);
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algorithm.SetRiskManagement(model);
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}
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}
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else
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{
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var model = new MaximumDrawdownPercentPerSecurity(maxDrawdownPercent);
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algorithm.SetRiskManagement(model);
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}
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
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if (shouldLiquidate)
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{
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Assert.AreEqual(1, targets.Count);
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
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Assert.AreEqual(0, targets[0].Quantity);
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}
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else
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{
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Assert.AreEqual(0, targets.Count);
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}
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}
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}
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}
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@@ -0,0 +1,155 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using Moq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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using System.Linq;
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namespace QuantConnect.Tests.Algorithm.Framework.Risk
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{
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[TestFixture]
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public class MaximumDrawdownPercentPortfolioTests
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{
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[Test]
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[TestCase(Language.CSharp, false, 0, false)]
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[TestCase(Language.CSharp, true, -1000, false)]
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[TestCase(Language.CSharp, true, -10000, false)]
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[TestCase(Language.CSharp, true, -10001, true)]
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[TestCase(Language.Python, false, 0, false)]
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[TestCase(Language.Python, true, -1000, false)]
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[TestCase(Language.Python, true, -10000, false)]
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[TestCase(Language.Python, true, -10001, true)]
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public void ReturnsExpectedPortfolioTarget(
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Language language,
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bool invested,
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decimal absoluteHoldingsCost,
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bool shouldLiquidate)
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{
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var algorithm = CreateAlgorithm(language, 0.1m);
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
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Assert.AreEqual(0, targets.Count);
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algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, invested, absoluteHoldingsCost));
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algorithm.Portfolio.InvalidateTotalPortfolioValue();
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targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10)}).ToList();
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if (shouldLiquidate)
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{
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Assert.AreEqual(1, targets.Count);
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
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Assert.AreEqual(0, targets[0].Quantity);
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}
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else
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{
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Assert.AreEqual(0, targets.Count);
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void ReturnsExpectedPortfolioTargetsAfterReset(Language language)
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{
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var algorithm = CreateAlgorithm(language, 0.1m);
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
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algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, true, -10001));
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algorithm.Portfolio.InvalidateTotalPortfolioValue();
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targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
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Assert.AreEqual(1, targets.Count);
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
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Assert.AreEqual(0, targets[0].Quantity);
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algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, true, 10001));
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targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
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Assert.AreEqual(0, targets.Count);
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void ReturnsMoreThanOnePortfolioTarget(Language language)
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{
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var targetSymbols = new PortfolioTarget[] {
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new PortfolioTarget(Symbols.AAPL, 10),
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new PortfolioTarget(Symbols.SPY, 100),
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new PortfolioTarget(Symbols.MSFT, 1000),
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new PortfolioTarget(Symbols.GOOG, 10000),
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new PortfolioTarget(Symbols.IBM, 100000)};
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var algorithm = CreateAlgorithm(language, 0.1m);
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var returnedTargets = algorithm.RiskManagement.ManageRisk(algorithm, targetSymbols).ToList();
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targetSymbols.ToList().ForEach(x => algorithm.Securities.Add(x.Symbol, GetSecurity( x.Symbol, true, -x.Quantity)));
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algorithm.Portfolio.InvalidateTotalPortfolioValue();
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returnedTargets = algorithm.RiskManagement.ManageRisk(algorithm, targetSymbols).ToList();
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Assert.AreEqual(targetSymbols.Length, returnedTargets.Count);
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Assert.AreEqual(targetSymbols.Select(x => x.Symbol), returnedTargets.Select(x => x.Symbol));
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Assert.IsTrue(returnedTargets.All(x => x.Quantity == 0));
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}
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private QCAlgorithm CreateAlgorithm(Language language, decimal maxDrawdownPercent)
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{
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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if (language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(MaximumDrawdownPercentPortfolio);
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var instance = Py.Import(name).GetAttr(name).Invoke(maxDrawdownPercent.ToPython());
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var model = new RiskManagementModelPythonWrapper(instance);
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algorithm.SetRiskManagement(model);
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}
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}
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else
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{
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var model = new MaximumDrawdownPercentPortfolio(maxDrawdownPercent);
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algorithm.SetRiskManagement(model);
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}
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return algorithm;
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}
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private Security GetSecurity(Symbol symbol, bool invested, decimal absoluteHoldingsCost)
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{
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// Add security
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var security = new Mock<Equity>(
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symbol,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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Exchange.UNKNOWN
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);
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var holding = new Mock<EquityHolding>(security.Object,
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new IdentityCurrencyConverter(Currencies.USD));
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holding.Setup(m => m.Invested).Returns(invested);
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holding.Setup(m => m.HoldingsValue).Returns(absoluteHoldingsCost);
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security.Object.Holdings = holding.Object;
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return security.Object;
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}
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}
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}
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@@ -0,0 +1,271 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
||||
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
||||
*
|
||||
* Licensed under the Apache License, Version 2.0 (the "License");
|
||||
* you may not use this file except in compliance with the License.
|
||||
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
||||
*
|
||||
* Unless required by applicable law or agreed to in writing, software
|
||||
* distributed under the License is distributed on an "AS IS" BASIS,
|
||||
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
* See the License for the specific language governing permissions and
|
||||
* limitations under the License.
|
||||
*
|
||||
*/
|
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using System;
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using System.Linq;
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using System.Collections.Generic;
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using Moq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders.Fees;
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namespace QuantConnect.Tests.Algorithm.Framework.Risk
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{
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[TestFixture]
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public class TrailingStopRiskManagementModelTests
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{
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[Test, TestCaseSource(nameof(GenerateTestData))]
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public void ReturnsExpectedPortfolioTarget(
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TrailingStopRiskManagementModelTestParameters parameters)
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{
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var decimalPrices = System.Array.ConvertAll(parameters.Prices, x => (decimal) x);
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var security = new Mock<Security>(
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Symbols.AAPL,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 1000m, 1m),
|
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.CallBase = true;
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security.Object.FeeModel = new ConstantFeeModel(0);
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var holding = new SecurityHolding(security.Object, new IdentityCurrencyConverter(Currencies.USD));
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holding.SetHoldings(parameters.InitialPrice, parameters.Quantity);
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security.Object.Holdings = holding;
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.Securities.Add(Symbols.AAPL, security.Object);
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if (parameters.Language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(TrailingStopRiskManagementModel);
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var instance = Py.Import(name).GetAttr(name).Invoke(parameters.MaxDrawdownPercent.ToPython());
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var model = new RiskManagementModelPythonWrapper(instance);
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algorithm.SetRiskManagement(model);
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}
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}
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else
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{
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var model = new TrailingStopRiskManagementModel(parameters.MaxDrawdownPercent);
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algorithm.SetRiskManagement(model);
|
||||
}
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||||
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var quantity = parameters.Quantity;
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for (int i = 0; i < decimalPrices.Length; i++)
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{
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var price = decimalPrices[i];
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security.Object.SetMarketPrice(new Tick(DateTime.Now, security.Object.Symbol, price, price));
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security.Setup((m => m.Invested)).Returns(parameters.InvestedArray[i]);
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
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var shouldLiquidate = parameters.ShouldLiquidateArray[i];
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|
||||
if (shouldLiquidate)
|
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{
|
||||
Assert.AreEqual(1, targets.Count);
|
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
|
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Assert.AreEqual(0, targets[0].Quantity);
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.AreEqual(0, targets.Count);
|
||||
}
|
||||
|
||||
if (shouldLiquidate || parameters.ChangePosition[i])
|
||||
{
|
||||
// Go from long to short or viceversa
|
||||
holding.SetHoldings(price, quantity = -quantity);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
static IEnumerable<TestCaseData> GenerateTestData()
|
||||
{
|
||||
Language[] languages = new Language[] { Language.CSharp, Language.Python };
|
||||
TrailingStopRiskManagementModelTestParameters[] datasets = new TrailingStopRiskManagementModelTestParameters[]
|
||||
{
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnCorrectPriceChangeInLongPosition",
|
||||
0.05m,
|
||||
1m,
|
||||
1m,
|
||||
new decimal[] { 100m, 99.95m, 99.94m, 95m, 94.99m },
|
||||
new bool[] { true, true, true, true, true },
|
||||
new bool[] { false, false, false, false, false },
|
||||
new bool[] { false, false, false, false, true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnCorrectPriceChangeInShortPosition",
|
||||
0.1m,
|
||||
100m,
|
||||
-1m,
|
||||
new decimal[] { 50m, 54.99m, 55m, 55.01m },
|
||||
new bool[] { true, true, true, true },
|
||||
new bool[] { false, false, false, false },
|
||||
new bool[] { false, false, false, true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"DoesntLiquidateIfSecurityIsNotInvested",
|
||||
0.05m,
|
||||
1m,
|
||||
1m,
|
||||
new decimal[] { 100m, 94.99m, 90m },
|
||||
new bool[] { false, false, false },
|
||||
new bool[] { false, false, false },
|
||||
new bool[] { false, false, false }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnCorrectPriceChangeInLongPositionWithUnivestedSecurityInFirstPrices",
|
||||
0.05m,
|
||||
1m,
|
||||
1m,
|
||||
new decimal[] { 10m, 100m, 99.95m, 99.94m, 95m, 94.99m },
|
||||
new bool[] { false, true, true, true, true, true },
|
||||
new bool[] { false, false, false, false, false, false },
|
||||
new bool[] { false, false, false, false, false, true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnCorrectPriceChangeInShortPositionWithUnivestedSecurityInFirstPrices",
|
||||
0.1m,
|
||||
100m,
|
||||
-1m,
|
||||
new decimal[] { 90m, 100m, 50m, 54.99m, 55m, 55.01m },
|
||||
new bool[] { false, true, true, true, true, true },
|
||||
new bool[] { false, false, false, false, false, false },
|
||||
new bool[] { false, false, false, false, false, true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"DoesntLiquidateIfPricesDontChangeInLongPosition",
|
||||
0.05m,
|
||||
1m,
|
||||
1m,
|
||||
new decimal[] { 1m, 1m, 1m, 1m },
|
||||
new bool[] { true, true, true, true },
|
||||
new bool[] { false, false, false, false },
|
||||
new bool[] { false, false, false, false }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"DoesntLiquidateIfPricesDontChangeInShortPosition",
|
||||
0.05m,
|
||||
1m,
|
||||
-1m,
|
||||
new decimal[] { 1m, 1m, 1m, 1m },
|
||||
new bool[] { true, true, true, true },
|
||||
new bool[] { false, false, false, false },
|
||||
new bool[] { false, false, false, false }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesAfterSwitchingToShortPosition",
|
||||
0.05m,
|
||||
1m,
|
||||
1m,
|
||||
new decimal[] { 100m, 90m, 70m, 50m, 52.6m },
|
||||
new bool[] { true, true, true, true, true },
|
||||
new bool[] { true, false, false, false, false },
|
||||
new bool[] { false, false, false, false, true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnFirstCallForLongPosition",
|
||||
0.1m,
|
||||
100m,
|
||||
1m,
|
||||
new decimal[] { 89.99m },
|
||||
new bool[] { true },
|
||||
new bool[] { false },
|
||||
new bool[] { true }
|
||||
),
|
||||
new TrailingStopRiskManagementModelTestParameters(
|
||||
"LiquidatesOnFirstCallForShortPosition",
|
||||
0.1m,
|
||||
100m,
|
||||
-1m,
|
||||
new decimal[] { 110.01m },
|
||||
new bool[] { true },
|
||||
new bool[] { false },
|
||||
new bool[] { true }
|
||||
)
|
||||
};
|
||||
|
||||
return (
|
||||
from parameters in datasets
|
||||
from language in languages
|
||||
select new TrailingStopRiskManagementModelTestParameters(
|
||||
parameters.Name,
|
||||
parameters.MaxDrawdownPercent,
|
||||
parameters.InitialPrice,
|
||||
parameters.Quantity,
|
||||
parameters.Prices,
|
||||
parameters.InvestedArray,
|
||||
parameters.ChangePosition,
|
||||
parameters.ShouldLiquidateArray,
|
||||
language
|
||||
)
|
||||
)
|
||||
.OrderBy(c => c.Language)
|
||||
// generate test cases from test parameters
|
||||
.Select(x => new TestCaseData(x).SetName(x.Language + "/" + x.Name))
|
||||
.ToArray();
|
||||
}
|
||||
|
||||
public class TrailingStopRiskManagementModelTestParameters
|
||||
{
|
||||
public string Name { get; init; }
|
||||
public Language Language { get; init; }
|
||||
public decimal MaxDrawdownPercent { get; init; }
|
||||
public decimal InitialPrice { get; init; }
|
||||
public decimal Quantity { get; init; }
|
||||
public decimal[] Prices { get; init; }
|
||||
public bool[] InvestedArray { get; init; }
|
||||
public bool[] ChangePosition { get; init; }
|
||||
public bool[] ShouldLiquidateArray { get; init; }
|
||||
|
||||
public TrailingStopRiskManagementModelTestParameters(
|
||||
string name,
|
||||
decimal maxDrawdownPercent,
|
||||
decimal initialPrice,
|
||||
decimal quantity,
|
||||
decimal[] prices,
|
||||
bool[] investedArray,
|
||||
bool[] changePosition,
|
||||
bool[] shouldLiquidateArray,
|
||||
Language language = Language.CSharp
|
||||
)
|
||||
{
|
||||
Name = name;
|
||||
Language = language;
|
||||
MaxDrawdownPercent = maxDrawdownPercent;
|
||||
InitialPrice = initialPrice;
|
||||
Quantity = quantity;
|
||||
Prices = prices;
|
||||
InvestedArray = investedArray;
|
||||
ChangePosition = changePosition;
|
||||
ShouldLiquidateArray = shouldLiquidateArray;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user