chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,110 @@
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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 Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Util;
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using System;
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namespace QuantConnect.Tests.Optimizer.Objectives
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class ConstraintTests
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{
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[TestCase(101.0)]
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[TestCase(1000.0)]
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public void Meet(decimal value)
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{
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var constraint = new Constraint("Profit", ComparisonOperatorTypes.Greater, 100m);
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Assert.IsTrue(constraint.IsMet(BacktestResult.Create(value).ToJson()));
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}
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[TestCase(1.0)]
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[TestCase(99.9)]
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[TestCase(100d)]
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public void Fails(decimal value)
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{
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var constraint = new Constraint("Profit", ComparisonOperatorTypes.Greater, 100m);
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Assert.IsFalse(constraint.IsMet(BacktestResult.Create(value).ToJson()));
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}
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[Test]
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public void ThrowIfTargetNull()
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{
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Assert.Throws<ArgumentNullException>(() =>
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, null);
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});
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}
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[TestCase("")]
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[TestCase(null)]
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public void ThrowIfResultNullOrEmpty(string json)
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, 10);
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Assert.Throws<ArgumentNullException>(() =>
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{
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constraint.IsMet(json);
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});
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}
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[Test]
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public void IgnoreBadJson()
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, 0.1m);
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Assert.IsFalse(constraint.IsMet("{\"Drawdown\":\"10.0%\"}"));
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}
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[TestCase("Drawdown")]
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[TestCase("Statistics.Drawdown")]
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[TestCase("['Statistics'].['Drawdown']")]
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public void ParseName(string targetName)
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{
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var target = new Constraint(targetName, ComparisonOperatorTypes.Equals, 100);
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Assert.AreEqual("['Statistics'].['Drawdown']", target.Target);
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}
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[Test]
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public void FromJson()
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{
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var json = "{\"operator\": \"equals\",\"target\": \"pin ocho.Gepetto\",\"targetValue\": 11}";
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var constraint = (Constraint)JsonConvert.DeserializeObject(json, typeof(Constraint));
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Assert.AreEqual("['pin ocho'].['Gepetto']", constraint.Target);
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Assert.AreEqual(ComparisonOperatorTypes.Equals, constraint.Operator);
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Assert.AreEqual(11, constraint.TargetValue.Value);
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}
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[Test]
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public void RoundTrip()
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{
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var origin = new Constraint("['Statistics'].['Drawdown']", ComparisonOperatorTypes.Equals, 100);
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var json = JsonConvert.SerializeObject(origin);
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var actual = JsonConvert.DeserializeObject<Constraint>(json);
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Assert.NotNull(actual);
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Assert.AreEqual(origin.Target, actual.Target);
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Assert.AreEqual(origin.Operator, actual.Operator);
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Assert.AreEqual(origin.TargetValue, actual.TargetValue);
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}
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}
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}
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@@ -0,0 +1,129 @@
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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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using NUnit.Framework;
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using QuantConnect.Optimizer.Objectives;
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using System;
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using Newtonsoft.Json;
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namespace QuantConnect.Tests.Optimizer.Objectives
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class ExtremumTests
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{
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private static TestCaseData[] Extremums => new TestCaseData[]
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{
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new TestCaseData(new Maximization()),
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new TestCaseData(new Minimization())
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};
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[TestCase("\"max\"")]
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[TestCase("\"min\"")]
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[TestCase("\"Max\"")]
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[TestCase("\"miN\"")]
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public void Deserialize(string extremum)
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{
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var actual = JsonConvert.DeserializeObject<Extremum>(extremum);
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Extremum expected = extremum.Equals("\"max\"", StringComparison.OrdinalIgnoreCase)
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? new Maximization() as Extremum
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: new Minimization();
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Assert.NotNull(actual);
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Assert.AreEqual(expected.GetType(), actual.GetType());
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}
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[TestCase("\"\"")]
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[TestCase("\"n/a\"")]
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public void ThrowsIfNotRecognized(string extremum)
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{
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Assert.Throws<InvalidOperationException>(() =>
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{
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JsonConvert.DeserializeObject<Extremum>(extremum);
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});
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}
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[Test, TestCaseSource(nameof(Extremums))]
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public void Serialize(Extremum extremum)
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{
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var json = JsonConvert.SerializeObject(extremum);
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var actual = JsonConvert.DeserializeObject<Extremum>(json);
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Assert.NotNull(actual);
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Assert.AreEqual(extremum.GetType(), actual.GetType());
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}
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[TestCase(0, 10)]
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[TestCase(10, 10)]
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[TestCase(10, 0)]
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public void Linear(decimal current, decimal candidate)
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{
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Func<decimal, decimal, bool> comparer = (a, b) => a <= b;
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var strategy = new Extremum(comparer);
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Assert.AreEqual(comparer(current, candidate), strategy.Better(current, candidate));
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}
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[TestCase(101, 10)]
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[TestCase(100, 10)]
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[TestCase(99, 10)]
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public void NonLinear(decimal current, decimal candidate)
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{
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Func<decimal, decimal, bool> comparer = (a, b) => a >= b * b;
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var strategy = new Extremum(comparer);
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Assert.AreEqual(comparer(current, candidate), strategy.Better(current, candidate));
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}
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[TestFixture]
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public class MaximizationTests
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{
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Maximization _strategy = new Maximization();
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[Test]
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public void Greater()
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{
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Assert.IsTrue(_strategy.Better(0, 10));
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}
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[TestCase(10, 10)]
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[TestCase(10, 0)]
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public void LessThanOrEqual(decimal current, decimal candidate)
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{
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Assert.IsFalse(_strategy.Better(current, candidate));
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}
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}
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[TestFixture]
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public class MinimizationTests
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{
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Minimization _strategy = new Minimization();
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[Test]
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public void Less()
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{
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Assert.IsTrue(_strategy.Better(10, 0));
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}
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[TestCase(10, 10)]
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[TestCase(0, 10)]
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public void GreatThanOrEqual(decimal current, decimal candidate)
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{
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Assert.IsFalse(_strategy.Better(current, candidate));
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}
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}
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}
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}
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@@ -0,0 +1,171 @@
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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 Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using NUnit.Framework;
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using QuantConnect.Optimizer.Objectives;
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using System;
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namespace QuantConnect.Tests.Optimizer.Objectives
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class TargetTests
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{
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[Test]
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public void MoveAheadNoTarget()
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{
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var target = new Target("Profit", new Maximization(), null);
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Assert.IsTrue(target.MoveAhead(BacktestResult.Create(profit: 10m).ToJson()));
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Assert.AreEqual(10m, target.Current);
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Assert.IsFalse(target.MoveAhead(BacktestResult.Create(profit: 5m).ToJson()));
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Assert.AreEqual(10m, target.Current);
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Assert.IsTrue(target.MoveAhead(BacktestResult.Create(profit: 15m).ToJson()));
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Assert.AreEqual(15m, target.Current);
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}
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[Test]
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public void MoveAheadReachFirst()
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{
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var target = new Target("Profit", new Minimization(), 100);
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bool reached = false;
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target.Reached += (s, e) =>
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{
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reached = true;
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};
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Assert.IsTrue(target.MoveAhead(BacktestResult.Create(profit: 10m).ToJson()));
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target.CheckCompliance();
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Assert.AreEqual(10m, target.Current);
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Assert.IsTrue(reached);
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}
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[Test]
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public void MoveAheadReachLast()
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{
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var target = new Target("Profit", new Minimization(), 100);
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bool reached = false;
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target.Reached += (s, e) =>
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{
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reached = true;
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};
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for (var profit = 500m; profit > 0; profit -= 50)
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{
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Assert.IsTrue(target.MoveAhead(BacktestResult.Create(profit: profit).ToJson()));
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Assert.AreEqual(profit, target.Current);
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target.CheckCompliance();
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}
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Assert.IsTrue(reached);
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}
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[TestCase("")]
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[TestCase(null)]
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public void ThrowIfNullOrEmpty(string json)
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{
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var target = new Target("Profit", new Maximization(), null);
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Assert.Throws<ArgumentNullException>(() =>
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{
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target.MoveAhead(json);
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});
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}
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[Test]
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public void IgnoreBadJson()
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{
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var target = new Target("Profit", new Maximization(), null);
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Assert.IsFalse(target.MoveAhead("{\"Profit\":10}"));
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Assert.AreEqual(null, target.Current);
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}
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[TestCase("Sharpe Ratio")]
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[TestCase("Statistics.Sharpe Ratio")]
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[TestCase("['Statistics'].['Sharpe Ratio']")]
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public void ParseTargetName(string targetName)
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{
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var target = new Target(targetName, new Minimization(), 100);
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Assert.AreEqual("['Statistics'].['Sharpe Ratio']", target.Target);
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}
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[TestCase("null")]
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[TestCase("11")]
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public void FromJson(string value)
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{
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var json = $"{{\"extremum\": \"max\",\"target\": \"pin ocho.Gepetto\",\"targetValue\": {value}}}";
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var target = (Target)JsonConvert.DeserializeObject(json, typeof(Target));
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Assert.AreEqual("['pin ocho'].['Gepetto']", target.Target);
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Assert.AreEqual(typeof(Maximization), target.Extremum.GetType());
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if (value == "null")
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{
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Assert.IsNull(target.TargetValue);
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}
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else
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{
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Assert.AreEqual(11, target.TargetValue);
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}
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}
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[Test]
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public void RoundTrip()
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{
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var origin = new Target("['Statistics'].['Drawdown']", new Maximization(), 100);
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var json = JsonConvert.SerializeObject(origin);
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var actual = JsonConvert.DeserializeObject<Target>(json);
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Assert.NotNull(actual);
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Assert.AreEqual(origin.Target, actual.Target);
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Assert.AreEqual(origin.Extremum.GetType(), actual.Extremum.GetType());
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Assert.AreEqual(origin.TargetValue, actual.TargetValue);
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}
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[TestCase("['TotalPerformance'].['TradeStatistics'].['ProfitToMaxDrawdownRatio']", "-1")]
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[TestCase("['totalPerformance'].['tradeStatistics'].['profitToMaxDrawdownRatio']", "-1")]
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[TestCase("['TotalPerformance'].['TradeStatistics'].['lossRate']", "1")]
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[TestCase("['totalPerformance'].['tradeStatistics'].['lossRate']", "1")]
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[TestCase("['Statistics'].['Start Equity']", "100000")]
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[TestCase("['statistics'].['start equity']", "100000")]
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[TestCase("['Statistics'].['Sharpe Ratio']", "-5.283")]
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[TestCase("['statistics'].['sharpe ratio']", "-5.283")]
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[TestCase("['Statistics'].['Sharp Ratio']", null)]
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[TestCase("['statistics'].['sharp ratio']", null)]
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public void TargetMoveAheadIsCaseInsensitive(string target, string expected)
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{
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Assert.AreEqual(expected, (Target.GetTokenInJsonBacktest(jsonBacktestResultExample, target))?.Value<string>());
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}
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private string jsonBacktestResultExample = @"{
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""totalPerformance"": {
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""tradeStatistics"": {
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""lossRate"": ""1"",
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""profitToMaxDrawdownRatio"": ""-1"",
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}
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},
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""statistics"": {
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""Start Equity"": ""100000"",
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""Sharpe Ratio"": ""-5.283"",
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}
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}";
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}
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}
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Reference in New Issue
Block a user