chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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.
+*/
+using System;
+using System.Linq;
+using System.Collections.Generic;
+using NUnit.Framework;
+using QuantConnect.Util;
+using QuantConnect.Data.Market;
+using QuantConnect.Algorithm;
+using QuantConnect.Lean.Engine.Setup;
+
+namespace QuantConnect.Tests.Common.Statistics
+{
+    [TestFixture]
+    public class TrackingErrorTests
+    {
+        private List<TradeBar> _spy = new List<TradeBar>();
+        private List<TradeBar> _aapl = new List<TradeBar>();
+        private List<double> _spyPerformance = new List<double>();
+        private List<double> _aaplPerformance = new List<double>();
+
+        /// <summary>
+        /// Instance of QC Algorithm. 
+        /// Use to get <see cref="Interfaces.IAlgorithmSettings.TradingDaysPerYear"/> for clear calculation in <seealso cref="QuantConnect.Statistics.Statistics.AnnualPerformance"/>
+        /// </summary>
+        private QCAlgorithm _algorithm;
+
+        [OneTimeSetUp]
+        public void GetData()
+        {
+            _algorithm = new QCAlgorithm();
+            BaseSetupHandler.SetBrokerageTradingDayPerYear(_algorithm);
+
+            var spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+            var spyPath = LeanData.GenerateZipFilePath(Globals.DataFolder, spy, new DateTime(2020, 3, 1), Resolution.Daily, TickType.Trade);
+            var spyConfig = new QuantConnect.Data.SubscriptionDataConfig(typeof(TradeBar), spy, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
+            var endDate = new DateTime(2020, 3, 8);
+
+            foreach (var line in QuantConnect.Compression.ReadLines(spyPath))
+            {
+                var bar = TradeBar.ParseEquity(spyConfig, line, DateTime.Now.Date);
+                if (bar.EndTime < endDate)
+                {
+                    _spy.Add(bar);
+                }
+            }
+
+            for (var i = 1; i < _spy.Count; i++)
+            {
+                _spyPerformance.Add((double)((_spy[i].Close / _spy[i - 1].Close) - 1));
+            }
+
+            var aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
+            var aaplPath = LeanData.GenerateZipFilePath(Globals.DataFolder, aapl, new DateTime(2020, 3, 1), Resolution.Daily, TickType.Trade);
+            var aaplConfig = new QuantConnect.Data.SubscriptionDataConfig(typeof(TradeBar), aapl, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
+
+            foreach (var line in QuantConnect.Compression.ReadLines(aaplPath))
+            {
+                var bar = TradeBar.ParseEquity(aaplConfig, line, DateTime.Now.Date);
+                if (bar.EndTime < endDate)
+                {
+                    _aapl.Add(bar);
+                }
+            }
+
+            for (var i = 1; i < _aapl.Count; i++)
+            {
+                _aaplPerformance.Add((double)((_aapl[i].Close / _aapl[i - 1].Close) - 1));
+            }
+        }
+
+        [OneTimeTearDown]
+        public void Delete()
+        {
+            _spy.Clear();
+            _aapl.Clear();
+            _spyPerformance.Clear();
+            _aaplPerformance.Clear();
+        }
+
+        [Test]
+        public void OneYearPerformance()
+        {
+            var result = QuantConnect.Statistics.Statistics.TrackingError(_aaplPerformance.Take(252).ToList(), _spyPerformance.Take(252).ToList(), _algorithm.Settings.TradingDaysPerYear.Value);
+
+            Assert.AreEqual(0.52780899407691173, result);
+        }
+
+        [Test]
+        public void TotalPerformance()
+        {
+            // This might seem arbitrary, but there's 1 missing date vs. AAPL for SPY data, and it happens to be at line 5555 for date 2020-01-31
+            var result = QuantConnect.Statistics.Statistics.TrackingError(_aaplPerformance.Take(5555).ToList(), _spyPerformance.Take(5555).ToList(), _algorithm.Settings.TradingDaysPerYear.Value);
+
+            Assert.AreEqual(0.43074391577621751d, result, 0.00001);
+        }
+
+        [Test]
+        public void IdenticalPerformance()
+        {
+            var random = new Random();
+
+            var benchmarkPerformance = Enumerable.Repeat(random.NextDouble(), 252).ToList();
+            var algoPerformance = benchmarkPerformance.Select(element => element).ToList();
+
+            var result = QuantConnect.Statistics.Statistics.TrackingError(algoPerformance, benchmarkPerformance, _algorithm.Settings.TradingDaysPerYear.Value);
+
+            Assert.AreEqual(0.0, result);
+        }
+
+        [Test]
+        public void DifferentPerformance()
+        {
+            var benchmarkPerformance = new List<double>();
+            var algoPerformance = new List<double>();
+
+            // Gives us two sequences whose difference is always -175
+            // This sequence will have variance 0
+            var baseReturn = -176;
+            for (var i = 1; i <= 252; i++)
+            {
+                benchmarkPerformance.Add(baseReturn + 1);
+                algoPerformance.Add((baseReturn * 2) + 2);
+            }
+
+            var result = QuantConnect.Statistics.Statistics.TrackingError(algoPerformance, benchmarkPerformance, _algorithm.Settings.TradingDaysPerYear.Value);
+
+            Assert.AreEqual(0.0, result);
+        }
+
+        [Test]
+        public void AllZeros()
+        {
+            var benchmarkPerformance = Enumerable.Repeat(0.0, 252).ToList();
+            var algoPerformance = Enumerable.Repeat(0.0, 252).ToList();
+
+            var result = QuantConnect.Statistics.Statistics.TrackingError(algoPerformance, benchmarkPerformance, _algorithm.Settings.TradingDaysPerYear.Value);
+
+            Assert.AreEqual(0.0, result);
+        }
+    }
+}