wehub-resource-sync
60 lines
2.0 KiB
C#
60 lines
2.0 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 aaplicable 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.Algorithm.Framework.Portfolio;
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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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namespace QuantConnect.Tests.Algorithm.Framework.Portfolio;
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public abstract class PortfolioOptimizerTestsBase
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{
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protected IList<double[,]> HistoricalReturns { get; set; }
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protected IList<double[]> ExpectedReturns { get; set; }
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protected IList<double[,]> Covariances { get; set; }
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protected IList<double[]> ExpectedResults { get; set; }
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protected abstract IPortfolioOptimizer CreateOptimizer();
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public virtual void OptimizeWeightings(int testCaseNumber)
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{
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var testOptimizer = CreateOptimizer();
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var result = testOptimizer.Optimize(
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HistoricalReturns[testCaseNumber],
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ExpectedReturns[testCaseNumber],
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Covariances[testCaseNumber]);
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Assert.AreEqual(ExpectedResults[testCaseNumber], result.Select(x => Math.Round(x, 6)));
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}
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[Test]
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public virtual void EmptyPortfolioReturnsEmptyArrayOfDouble()
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{
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var testOptimizer = CreateOptimizer();
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var historicalReturns = new double[,] { { } };
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var expectedResult = Array.Empty<double>();
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var result = testOptimizer.Optimize(historicalReturns);
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Assert.AreEqual(result, expectedResult);
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}
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}
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