wehub-resource-sync
434 lines
18 KiB
C#
434 lines
18 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 System;
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using NodaTime;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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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.UniverseSelection;
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using QuantConnect.Scheduling;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data.UniverseSelection;
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using DateTime = System.DateTime;
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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 PortfolioConstructionModelTests
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{
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private QCAlgorithm _algorithm;
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[SetUp]
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public void SetUp()
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{
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_algorithm = new QCAlgorithm();
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionPeriodDue(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(time):
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return time + timedelta(days=1)").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func);
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(time => time.AddDays(1));
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 1, 23, 0, 0), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 2), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 2, 1, 0, 0), new Insight[0]));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionSecurityChanges(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(time):
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return time + timedelta(days=1)").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func);
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(time => time.AddDays(1));
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 2, 1, 0, 0), new Insight[0]));
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var security = new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 1, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache());
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChangesTests.AddedNonInternal(security));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 2), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 2), new Insight[0]));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionNewInsights(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(time):
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return time + timedelta(days=1)").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func);
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(time => time.AddDays(1));
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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var insights = new[] { Insight.Price(Symbols.SPY, Resolution.Daily, 1, InsightDirection.Down) };
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constructionModel.RebalanceOnInsightChanges = false;
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), insights));
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constructionModel.RebalanceOnInsightChanges = true;
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), insights));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionInsightExpiration(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(time):
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return time + timedelta(days=10)").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func);
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(time => time.AddDays(10));
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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constructionModel.SetNextExpiration(new DateTime(2020, 1, 2));
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constructionModel.RebalanceOnInsightChanges = false;
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 3), new Insight[0]));
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constructionModel.RebalanceOnInsightChanges = true;
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 3), new Insight[0]));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void NoRebalanceFunction(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString(
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"RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc():
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return None"
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).GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func.Invoke());
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel();
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 2), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 3), new Insight[0]));
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var security = new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 1, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache());
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChangesTests.AddedNonInternal(security));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionNull(Language language)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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var func = PyModule.FromString(
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"RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(time):
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if time.day == 17:
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return time + timedelta(hours=1)
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if time.day == 18:
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return time
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return None"
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).GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func);
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(
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time =>
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{
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if (time.Day == 18)
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{
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return time;
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}
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if (time.Day == 17)
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{
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return time.AddHours(1);
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}
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return null;
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});
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 1), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 1, 23, 0, 0), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 2), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 2, 0, 0, 1), new Insight[0]));
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// day number '17' should trigger rebalance in the next hour
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 17), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 17, 0, 59, 59), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(
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new DateTime(2020, 1, 17, 1, 0, 0), new Insight[0]));
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constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 20), new Insight[0]);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 21), new Insight[0]));
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// day number '18' should trigger rebalance immediately
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 18), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 1, 21), new Insight[0]));
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}
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[TestCase(Language.Python)]
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[TestCase(Language.CSharp)]
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public void RebalanceFunctionDateRules(Language language)
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{
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var mhdb = MarketHoursDatabase.FromDataFolder();
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var dateRules = new DateRules(null, new SecurityManager(
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new TimeKeeper(new DateTime(2015, 1, 1), DateTimeZone.Utc)), DateTimeZone.Utc, mhdb);
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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dynamic func = PyModule.FromString("RebalanceFunc",
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@"
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import datetime
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def RebalanceFunc(dateRules):
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return dateRules.On(datetime.datetime(2015, 1, 10), datetime.datetime(2015, 1, 30))").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func(dateRules));
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}
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}
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else
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{
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var dateRule = dateRules.On(new DateTime(2015, 1, 10), new DateTime(2015, 1, 30));
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constructionModel = new TestPortfolioConstructionModel(dateRule);
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 10), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 20), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 29), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 2, 1), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 2, 2), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2020, 10, 2), new Insight[0]));
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}
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[TestCase(Language.Python, 2)]
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[TestCase(Language.Python, 1)]
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[TestCase(Language.Python, 0)]
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[TestCase(Language.CSharp, 0)]
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public void RebalanceFunctionTimeSpan(Language language, int version)
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{
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TestPortfolioConstructionModel constructionModel;
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if (language == Language.Python)
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{
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constructionModel = new TestPortfolioConstructionModel();
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using (Py.GIL())
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{
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if (version == 1)
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{
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dynamic func = PyModule.FromString("RebalanceFunc",
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@"
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from System import *
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def RebalanceFunc(timeSpan):
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return timeSpan").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func(TimeSpan.FromMinutes(20)));
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}
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else if(version == 2)
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{
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dynamic func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc(constructionModel):
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return constructionModel.SetRebalancingFunc(timedelta(minutes = 20))").GetAttr("RebalanceFunc");
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func(constructionModel);
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}
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else
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{
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dynamic func = PyModule.FromString("RebalanceFunc",
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@"
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from datetime import timedelta
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def RebalanceFunc():
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return timedelta(minutes = 20)").GetAttr("RebalanceFunc");
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constructionModel.SetRebalancingFunc(func());
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}
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}
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}
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else
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{
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constructionModel = new TestPortfolioConstructionModel(time => time.AddMinutes(20));
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}
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constructionModel.OnSecuritiesChanged(_algorithm, SecurityChanges.None);
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1, 0, 20, 0), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1, 0, 22, 0), new Insight[0]));
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Assert.IsFalse(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1, 0, 21, 0), new Insight[0]));
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Assert.IsTrue(constructionModel.IsRebalanceDueWrapper(new DateTime(2015, 1, 1, 0, 40, 0), new Insight[0]));
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}
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class TestPortfolioConstructionModel : PortfolioConstructionModel
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{
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public TestPortfolioConstructionModel(IDateRule dateRule)
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: this(dateRule.ToFunc())
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{
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}
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public TestPortfolioConstructionModel(Func<DateTime, DateTime> func = null)
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: base(func)
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{
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}
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public TestPortfolioConstructionModel(Func<DateTime, DateTime?> func)
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: base(func)
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{
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}
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public new void SetRebalancingFunc(PyObject rebalancingFunc)
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{
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base.SetRebalancingFunc(rebalancingFunc);
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}
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public bool IsRebalanceDueWrapper(DateTime now, Insight[] insights)
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{
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return base.IsRebalanceDue(insights, now);
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}
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public void SetNextExpiration(DateTime nextExpiration)
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{
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Algorithm.Insights.Add(
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new Insight(Symbols.SPY, time => nextExpiration, InsightType.Price, InsightDirection.Down));
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}
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}
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}
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}
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