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.Lean.Engine.DataFeeds.Enumerators;
+using QuantConnect.Optimizer;
+using QuantConnect.Optimizer.Objectives;
+using QuantConnect.Optimizer.Parameters;
+using QuantConnect.Optimizer.Strategies;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using Math = System.Math;
+using OptimizationParameter = QuantConnect.Optimizer.Parameters.OptimizationParameter;
+
+namespace QuantConnect.Tests.Optimizer.Strategies
+{
+    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
+    public class StepBaseOptimizationStrategyTests
+    {
+        private GridSearchOptimizationStrategy _strategy;
+
+        [SetUp]
+        public void Init()
+        {
+            this._strategy = new GridSearchOptimizationStrategy();
+        }
+
+        [Test]
+        public void ThrowIfNoStepProvidedWhenNoSegmentValue()
+        {
+            var optimizationParameter = new OptimizationStepParameter("ema-fast", 1, 100);
+            Assert.Throws<ArgumentException>(() =>
+            {
+                _strategy.Initialize(
+                    new Target("Profit", new Maximization(), null),
+                    new List<Constraint>(),
+                    new HashSet<OptimizationParameter> { optimizationParameter },
+                    new StepBaseOptimizationStrategySettings());
+            });
+        }
+
+        [TestCase(4)]
+        [TestCase(5)]
+        [TestCase(10)]
+        public void CalculateStep(int numberOfSegments)
+        {
+            var set = new HashSet<OptimizationParameter>
+            {
+                new OptimizationStepParameter("ema-fast", 1, 100),
+                new OptimizationStepParameter("ema-slow", -10, -10),
+                new OptimizationStepParameter("ema-custom", -100, -1)
+            };
+
+            _strategy.Initialize(
+                new Target("Profit", new Maximization(), null),
+                new List<Constraint>(),
+                set,
+                new StepBaseOptimizationStrategySettings { DefaultSegmentAmount = numberOfSegments });
+
+            foreach (var parameter in set)
+            {
+                var stepParameter = parameter as OptimizationStepParameter;
+                Assert.NotNull(stepParameter);
+                var actual = Math.Abs(stepParameter.MaxValue - stepParameter.MinValue) /
+                    numberOfSegments;
+                Assert.AreEqual(actual, stepParameter.Step);
+                Assert.AreEqual(actual / 10, stepParameter.MinStep);
+            }
+        }
+
+        private static TestCaseData[] StepBaseSettings => new[]
+        {
+            new TestCaseData(new StepBaseOptimizationStrategySettings {DefaultSegmentAmount = 0}),
+            new TestCaseData(new StepBaseOptimizationStrategySettings {DefaultSegmentAmount = -1}),
+            new TestCaseData(null),
+            new TestCaseData(new StepBaseOptimizationStrategySettings()),
+            new TestCaseData(new OptimizationStrategySettings())
+        };
+
+        [Test, TestCaseSource(nameof(StepBaseSettings))]
+        public void ThrowExceptionIfCantCalculateStep(OptimizationStrategySettings settings)
+        {
+            var set = new HashSet<OptimizationParameter>
+            {
+                new OptimizationStepParameter("ema-fast", 1, 100),
+                new OptimizationStepParameter("ema-slow", -10, -10),
+                new OptimizationStepParameter("ema-custom", -100, -1)
+            };
+
+            foreach (var parameter in set)
+            {
+                var stepParameter = parameter as OptimizationStepParameter;
+                Assert.NotNull(stepParameter);
+                Assert.Null(stepParameter.Step);
+                Assert.Null(stepParameter.MinStep);
+            }
+
+            Assert.Throws<ArgumentException>(() =>
+            {
+                _strategy.Initialize(
+                    new Target("Profit", new Maximization(), null),
+                    new List<Constraint>(),
+                    set,
+                    settings);
+            });
+        }
+
+    }
+}