wehub-resource-sync
272 lines
11 KiB
C#
272 lines
11 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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*/
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using System;
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using System.Linq;
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using System.Collections.Generic;
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using Moq;
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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.Risk;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders.Fees;
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namespace QuantConnect.Tests.Algorithm.Framework.Risk
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{
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[TestFixture]
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public class TrailingStopRiskManagementModelTests
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{
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[Test, TestCaseSource(nameof(GenerateTestData))]
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public void ReturnsExpectedPortfolioTarget(
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TrailingStopRiskManagementModelTestParameters parameters)
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{
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var decimalPrices = System.Array.ConvertAll(parameters.Prices, x => (decimal) x);
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var security = new Mock<Security>(
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Symbols.AAPL,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 1000m, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.CallBase = true;
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security.Object.FeeModel = new ConstantFeeModel(0);
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var holding = new SecurityHolding(security.Object, new IdentityCurrencyConverter(Currencies.USD));
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holding.SetHoldings(parameters.InitialPrice, parameters.Quantity);
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security.Object.Holdings = holding;
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.Securities.Add(Symbols.AAPL, security.Object);
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if (parameters.Language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(TrailingStopRiskManagementModel);
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var instance = Py.Import(name).GetAttr(name).Invoke(parameters.MaxDrawdownPercent.ToPython());
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var model = new RiskManagementModelPythonWrapper(instance);
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algorithm.SetRiskManagement(model);
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}
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}
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else
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{
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var model = new TrailingStopRiskManagementModel(parameters.MaxDrawdownPercent);
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algorithm.SetRiskManagement(model);
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}
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var quantity = parameters.Quantity;
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for (int i = 0; i < decimalPrices.Length; i++)
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{
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var price = decimalPrices[i];
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security.Object.SetMarketPrice(new Tick(DateTime.Now, security.Object.Symbol, price, price));
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security.Setup((m => m.Invested)).Returns(parameters.InvestedArray[i]);
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
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var shouldLiquidate = parameters.ShouldLiquidateArray[i];
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if (shouldLiquidate)
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{
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Assert.AreEqual(1, targets.Count);
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
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Assert.AreEqual(0, targets[0].Quantity);
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}
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else
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{
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Assert.AreEqual(0, targets.Count);
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}
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if (shouldLiquidate || parameters.ChangePosition[i])
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{
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// Go from long to short or viceversa
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holding.SetHoldings(price, quantity = -quantity);
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}
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}
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}
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static IEnumerable<TestCaseData> GenerateTestData()
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{
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Language[] languages = new Language[] { Language.CSharp, Language.Python };
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TrailingStopRiskManagementModelTestParameters[] datasets = new TrailingStopRiskManagementModelTestParameters[]
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{
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnCorrectPriceChangeInLongPosition",
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0.05m,
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1m,
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1m,
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new decimal[] { 100m, 99.95m, 99.94m, 95m, 94.99m },
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new bool[] { true, true, true, true, true },
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new bool[] { false, false, false, false, false },
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new bool[] { false, false, false, false, true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnCorrectPriceChangeInShortPosition",
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0.1m,
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100m,
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-1m,
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new decimal[] { 50m, 54.99m, 55m, 55.01m },
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new bool[] { true, true, true, true },
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new bool[] { false, false, false, false },
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new bool[] { false, false, false, true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"DoesntLiquidateIfSecurityIsNotInvested",
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0.05m,
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1m,
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1m,
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new decimal[] { 100m, 94.99m, 90m },
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new bool[] { false, false, false },
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new bool[] { false, false, false },
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new bool[] { false, false, false }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnCorrectPriceChangeInLongPositionWithUnivestedSecurityInFirstPrices",
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0.05m,
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1m,
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1m,
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new decimal[] { 10m, 100m, 99.95m, 99.94m, 95m, 94.99m },
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new bool[] { false, true, true, true, true, true },
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new bool[] { false, false, false, false, false, false },
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new bool[] { false, false, false, false, false, true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnCorrectPriceChangeInShortPositionWithUnivestedSecurityInFirstPrices",
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0.1m,
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100m,
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-1m,
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new decimal[] { 90m, 100m, 50m, 54.99m, 55m, 55.01m },
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new bool[] { false, true, true, true, true, true },
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new bool[] { false, false, false, false, false, false },
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new bool[] { false, false, false, false, false, true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"DoesntLiquidateIfPricesDontChangeInLongPosition",
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0.05m,
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1m,
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1m,
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new decimal[] { 1m, 1m, 1m, 1m },
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new bool[] { true, true, true, true },
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new bool[] { false, false, false, false },
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new bool[] { false, false, false, false }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"DoesntLiquidateIfPricesDontChangeInShortPosition",
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0.05m,
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1m,
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-1m,
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new decimal[] { 1m, 1m, 1m, 1m },
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new bool[] { true, true, true, true },
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new bool[] { false, false, false, false },
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new bool[] { false, false, false, false }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesAfterSwitchingToShortPosition",
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0.05m,
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1m,
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1m,
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new decimal[] { 100m, 90m, 70m, 50m, 52.6m },
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new bool[] { true, true, true, true, true },
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new bool[] { true, false, false, false, false },
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new bool[] { false, false, false, false, true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnFirstCallForLongPosition",
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0.1m,
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100m,
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1m,
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new decimal[] { 89.99m },
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new bool[] { true },
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new bool[] { false },
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new bool[] { true }
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),
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new TrailingStopRiskManagementModelTestParameters(
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"LiquidatesOnFirstCallForShortPosition",
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0.1m,
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100m,
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-1m,
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new decimal[] { 110.01m },
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new bool[] { true },
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new bool[] { false },
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new bool[] { true }
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)
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};
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return (
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from parameters in datasets
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from language in languages
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select new TrailingStopRiskManagementModelTestParameters(
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parameters.Name,
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parameters.MaxDrawdownPercent,
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parameters.InitialPrice,
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parameters.Quantity,
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parameters.Prices,
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parameters.InvestedArray,
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parameters.ChangePosition,
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parameters.ShouldLiquidateArray,
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language
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)
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)
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.OrderBy(c => c.Language)
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// generate test cases from test parameters
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.Select(x => new TestCaseData(x).SetName(x.Language + "/" + x.Name))
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.ToArray();
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}
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public class TrailingStopRiskManagementModelTestParameters
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{
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public string Name { get; init; }
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public Language Language { get; init; }
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public decimal MaxDrawdownPercent { get; init; }
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public decimal InitialPrice { get; init; }
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public decimal Quantity { get; init; }
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public decimal[] Prices { get; init; }
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public bool[] InvestedArray { get; init; }
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public bool[] ChangePosition { get; init; }
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public bool[] ShouldLiquidateArray { get; init; }
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public TrailingStopRiskManagementModelTestParameters(
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string name,
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decimal maxDrawdownPercent,
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decimal initialPrice,
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decimal quantity,
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decimal[] prices,
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bool[] investedArray,
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bool[] changePosition,
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bool[] shouldLiquidateArray,
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Language language = Language.CSharp
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)
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{
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Name = name;
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Language = language;
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MaxDrawdownPercent = maxDrawdownPercent;
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InitialPrice = initialPrice;
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Quantity = quantity;
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Prices = prices;
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InvestedArray = investedArray;
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ChangePosition = changePosition;
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ShouldLiquidateArray = shouldLiquidateArray;
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}
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}
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}
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}
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