wehub-resource-sync
100 lines
3.7 KiB
C#
100 lines
3.7 KiB
C#
/*
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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 Python.Runtime;
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using QuantConnect.Algorithm.Framework.Alphas;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Reflection;
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using static System.FormattableString;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas
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{
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[TestFixture]
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public class ConstantAlphaModelTests : CommonAlphaModelTests
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{
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private InsightType _type = InsightType.Price;
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private InsightDirection _direction = InsightDirection.Up;
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private TimeSpan _period = Time.OneDay;
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private double? _magnitude = 0.025;
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private double? _confidence = null;
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protected override IAlphaModel CreateCSharpAlphaModel() => new ConstantAlphaModel(_type, _direction, _period, _magnitude, _confidence);
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protected override IAlphaModel CreatePythonAlphaModel()
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{
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using (Py.GIL())
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{
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dynamic model = Py.Import("ConstantAlphaModel").GetAttr("ConstantAlphaModel");
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var instance = model(_type, _direction, _period, _magnitude, _confidence);
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return new AlphaModelPythonWrapper(instance);
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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 ConstructorWithWeightOnlySetsWeightCorrectly(Language language)
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{
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IAlphaModel alpha;
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if (language == Language.CSharp)
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{
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alpha = new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1), weight: 0.1);
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("test_module",
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@"
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from AlgorithmImports import *
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def test_constructor():
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model = ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(1), weight=0.1)
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return model
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");
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alpha = testModule.GetAttr("test_constructor").Invoke().As<ConstantAlphaModel>();
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}
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}
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var magnitude = GetPrivateField(alpha, "_magnitude");
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var confidence = GetPrivateField(alpha, "_confidence");
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var weight = GetPrivateField(alpha, "_weight");
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Assert.IsNull(magnitude);
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Assert.IsNull(confidence);
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Assert.AreEqual(0.1, weight);
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}
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private static object GetPrivateField(object obj, string fieldName)
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{
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var field = obj.GetType().GetField(fieldName, BindingFlags.NonPublic | BindingFlags.Instance);
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return field?.GetValue(obj);
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}
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protected override IEnumerable<Insight> ExpectedInsights()
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{
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return Enumerable.Range(0, 360).Select(x => new Insight(Symbols.SPY, _period, _type, _direction, _magnitude, _confidence));
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}
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protected override string GetExpectedModelName(IAlphaModel model)
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{
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return Invariant($"{nameof(ConstantAlphaModel)}({_type},{_direction},{_period},{_magnitude})");
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}
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}
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}
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