wehub-resource-sync
244 lines
12 KiB
C#
244 lines
12 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 QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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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 QuantConnect.Tests.Common.Data.UniverseSelection;
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namespace QuantConnect.Tests.Algorithm.Framework.Portfolio
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{
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[TestFixture]
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public class EqualWeightingPortfolioConstructionModelTests : BaseWeightingPortfolioConstructionModelTests
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{
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public override double? Weight => Algorithm.Securities.Count == 0 ? default(double) : 1d / Algorithm.Securities.Count;
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public virtual PortfolioBias PortfolioBias => PortfolioBias.LongShort;
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[OneTimeSetUp]
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public override void SetUp()
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{
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base.SetUp();
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var prices = new Dictionary<Symbol, decimal>
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{
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{ Symbol.Create("AIG", SecurityType.Equity, Market.USA), 55.22m },
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{ Symbol.Create("IBM", SecurityType.Equity, Market.USA), 145.17m },
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{ Symbol.Create("SPY", SecurityType.Equity, Market.USA), 281.79m },
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};
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foreach (var kvp in prices)
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{
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var symbol = kvp.Key;
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var security = GetSecurity(symbol);
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security.SetMarketPrice(new Tick(Algorithm.Time, symbol, kvp.Value, kvp.Value));
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Algorithm.Securities.Add(symbol, security);
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}
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}
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[Test]
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public override void AutomaticallyRemoveInvestedWithNewInsights(Language language, InsightDirection direction)
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{
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SetPortfolioConstruction(language);
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if (PortfolioBias != PortfolioBias.LongShort && (int)direction != (int)PortfolioBias)
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{
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direction = InsightDirection.Flat;
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}
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// Let's create a position for SPY
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var insights = new[] { GetInsight(Symbols.SPY, direction, Algorithm.UtcTime) };
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foreach (var target in Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights))
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{
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var holding = Algorithm.Portfolio[target.Symbol];
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holding.SetHoldings(holding.Price, target.Quantity);
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Algorithm.Portfolio.SetCash(StartingCash - holding.HoldingsValue);
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}
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SetUtcTime(Algorithm.UtcTime.AddDays(2));
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// Equity will be divided by all securities minus 1, since SPY is already invested and we want to remove it
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var amount = Algorithm.Portfolio.TotalPortfolioValue / (decimal)(1 / Weight - 1) *
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(1 - Algorithm.Settings.FreePortfolioValuePercentage);
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var expectedTargets = Algorithm.Securities.Select(x =>
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{
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// Expected target quantity for SPY is zero, since it will be removed
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var quantity = x.Key.Value == "SPY" ? 0 : (int)direction * Math.Floor(amount / x.Value.Price);
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return new PortfolioTarget(x.Key, quantity);
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});
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// Do no include SPY in the insights
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insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
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.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
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AssertTargets(expectedTargets, actualTargets);
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}
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[Test]
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public override void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
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{
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SetPortfolioConstruction(language);
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if (PortfolioBias != PortfolioBias.LongShort && (int)direction != (int)PortfolioBias)
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{
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direction = InsightDirection.Flat;
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}
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var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
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var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
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Assert.AreEqual(1, targets.Count);
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// Removing SPY should clear the key in the insight collection
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var changes = SecurityChangesTests.RemovedNonInternal(Algorithm.Securities[Symbols.SPY]);
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Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
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// Equity will be divided by all securities minus 1, since SPY is already invested and we want to remove it
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var amount = Algorithm.Portfolio.TotalPortfolioValue / (decimal)(1 / Weight - 1) *
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(1 - Algorithm.Settings.FreePortfolioValuePercentage);
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var expectedTargets = Algorithm.Securities.Select(x =>
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{
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// Expected target quantity for SPY is zero, since it will be removed
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var quantity = x.Key.Value == "SPY" ? 0 : (int)direction * Math.Floor(amount / x.Value.Price);
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return new PortfolioTarget(x.Key, quantity);
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});
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// Do no include SPY in the insights
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insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
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.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
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// Create target from an empty insights array
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
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AssertTargets(expectedTargets, actualTargets);
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}
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public override void FlatDirectionNotAccountedToAllocation(Language language, InsightDirection direction)
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{
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SetPortfolioConstruction(language);
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if (PortfolioBias != PortfolioBias.LongShort && (int)direction != (int)PortfolioBias)
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{
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direction = InsightDirection.Flat;
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}
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// Equity, minus $1 for fees, will be divided by all securities minus 1, since its insight will have flat direction
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var amount = (Algorithm.Portfolio.TotalPortfolioValue - 1 * (Algorithm.Securities.Count - 1)) * 1 /
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(decimal)((1 / Weight) - 1) * (1 - Algorithm.Settings.FreePortfolioValuePercentage);
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var expectedTargets = Algorithm.Securities.Select(x =>
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{
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// Expected target quantity for SPY is zero, since its insight will have flat direction
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var quantity = x.Key.Value == "SPY" ? 0 : (int)direction * Math.Floor(amount / x.Value.Price);
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return new PortfolioTarget(x.Key, quantity);
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});
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var insights = Algorithm.Securities.Keys.Select(x =>
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{
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// SPY insight direction is flat
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var actualDirection = x.Value == "SPY" ? InsightDirection.Flat : direction;
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return GetInsight(x, actualDirection, Algorithm.UtcTime);
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});
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights.ToArray());
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AssertTargets(expectedTargets, actualTargets);
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}
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[Test]
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[TestCase(Language.CSharp, InsightDirection.Up, 1)]
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[TestCase(Language.CSharp, InsightDirection.Up, -1)]
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[TestCase(Language.CSharp, InsightDirection.Down, 1)]
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[TestCase(Language.CSharp, InsightDirection.Down, -1)]
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[TestCase(Language.CSharp, InsightDirection.Flat, 1)]
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[TestCase(Language.CSharp, InsightDirection.Flat, -1)]
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[TestCase(Language.Python, InsightDirection.Up, 1)]
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[TestCase(Language.Python, InsightDirection.Up, -1)]
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[TestCase(Language.Python, InsightDirection.Down, 1)]
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[TestCase(Language.Python, InsightDirection.Down, -1)]
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[TestCase(Language.Python, InsightDirection.Flat, 1)]
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[TestCase(Language.Python, InsightDirection.Flat, -1)]
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public virtual void InsightsReturnsTargetsConsistentWithDirection(Language language, InsightDirection direction, int weightSign)
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{
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SetPortfolioConstruction(language);
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if (PortfolioBias != PortfolioBias.LongShort && (int)direction != (int)PortfolioBias)
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{
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direction = InsightDirection.Flat;
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}
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// Equity will be divided by all securities
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var amount = Algorithm.Portfolio.TotalPortfolioValue * (decimal)Weight *
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(1 - Algorithm.Settings.FreePortfolioValuePercentage);
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var expectedTargets = Algorithm.Securities
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.Select(x => new PortfolioTarget(x.Key, (int)direction * Math.Floor(amount / x.Value.Price)));
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var insights = Algorithm.Securities.Keys.Select(x => GetInsight(x, direction, Algorithm.UtcTime, weight: weightSign * Weight));
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights.ToArray());
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AssertTargets(expectedTargets, actualTargets);
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}
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public override Insight GetInsight(Symbol symbol, InsightDirection direction, DateTime generatedTimeUtc, TimeSpan? period = null, double? weight = 0.01)
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{
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period ??= TimeSpan.FromDays(1);
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var insight = Insight.Price(symbol, period.Value, direction, weight: Math.Max(0.01, Algorithm.Securities.Count));
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insight.GeneratedTimeUtc = generatedTimeUtc;
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insight.CloseTimeUtc = generatedTimeUtc.Add(period.Value);
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Algorithm.Insights.Add(insight);
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return insight;
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}
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public override IPortfolioConstructionModel GetPortfolioConstructionModel(Language language, dynamic paramenter = null)
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{
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if (language == Language.CSharp)
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{
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return new EqualWeightingPortfolioConstructionModel(paramenter);
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}
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using (Py.GIL())
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{
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const string name = nameof(EqualWeightingPortfolioConstructionModel);
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var instance = Py.Import(name).GetAttr(name).Invoke(((object)paramenter).ToPython());
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return new PortfolioConstructionModelPythonWrapper(instance);
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}
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}
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}
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}
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