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 NUnit.Framework;
+using QuantConnect.Indicators;
+using System;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
+    public class ValueAtRiskTests : CommonIndicatorTests<IndicatorDataPoint>
+    {
+        private const int _tradingDays = 252;
+        
+        protected override string TestFileName => "spy_valueatrisk.csv";
+
+        protected override string TestColumnName => "VaR_99";
+
+        protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
+        {
+            return new ValueAtRisk(_tradingDays, 0.99d);
+        }
+
+        protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion
+        {
+            get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 1e-3); }
+        }
+
+        [Test]
+        public void ComparesAgainstExternalData95()
+        {
+            var indicator = new ValueAtRisk(_tradingDays, 0.95);
+
+            TestHelper.TestIndicator(indicator, TestFileName, "VaR_95", Assertion);
+        }
+
+        [Test]
+        public void ComparesAgainstExternalData90()
+        {
+            var indicator = new ValueAtRisk(_tradingDays, 0.9d);
+
+            TestHelper.TestIndicator(indicator, TestFileName, "VaR_90", Assertion);
+        }
+
+        [Test]
+        public void DivisonByZero()
+        {
+            var indicator = CreateIndicator();
+
+            for (int i = 0; i < _tradingDays; i++)
+            {
+                var indicatorDataPoint = new IndicatorDataPoint(new DateTime(), 0);
+                indicator.Update(indicatorDataPoint);
+            }
+
+            Assert.AreEqual(indicator.Current.Value, 0m);
+            Assert.IsTrue(indicator.IsReady);
+        }
+
+        [Test]
+        public void PeriodBelowMinimumThrows()
+        {
+            var period = 2; 
+
+            var exception = Assert.Throws<ArgumentException>(() => new ValueAtRisk(period, 0.99d));
+            Assert.That(exception.Message, Is.EqualTo($"Period parameter for ValueAtRisk indicator must be greater than 2 but was {period}"));
+        }
+    }
+}
+