wehub-resource-sync
63 lines
3.2 KiB
C#
63 lines
3.2 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 System.Collections.Generic;
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using NUnit.Framework;
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namespace QuantConnect.Tests.Common.Statistics
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{
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[TestFixture]
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internal class DrawdownRecoveryTests
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{
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[Test, TestCaseSource(nameof(TestCases))]
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public void DrawdownMetricsMaximumRecoveryTimeTests(List<decimal> data, decimal expectedRecoveryTime)
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{
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var startDate = new DateTime(2025, 1, 1);
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var equity = new SortedDictionary<DateTime, decimal>();
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for (int i = 0; i < data.Count; i++)
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{
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var value = data[i];
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equity[startDate.AddDays(i)] = value;
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}
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var result = QuantConnect.Statistics.Statistics.CalculateDrawdownMetrics(equity).DrawdownRecovery;
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Assert.AreEqual(expectedRecoveryTime, result);
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}
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private static IEnumerable<TestCaseData> TestCases()
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{
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yield return new TestCaseData(new List<decimal> { 100, 90, 100 }, 2m).SetName("RecoveryAfterOneDip2Days");
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yield return new TestCaseData(new List<decimal> { 100, 90, 95, 100 }, 3m).SetName("RecoveryAfterPartialThenFull3Days");
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yield return new TestCaseData(new List<decimal> { 100, 90, 100, 90, 100 }, 2m).SetName("RecoveryFromTwoEqualDips2DaysEach");
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yield return new TestCaseData(new List<decimal> { 100, 90, 100, 90, 80, 100 }, 3m).SetName("TakesLongestRecoveryAmongMultipleDrawdowns");
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yield return new TestCaseData(new List<decimal> { 100, 90, 95, 90, 100 }, 4m).SetName("RecoveryFromNestedDrawdowns4Days");
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yield return new TestCaseData(new List<decimal> { 100, 90, 80, 70 }, 0m).SetName("NoRecoveryContinuousDecline");
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yield return new TestCaseData(new List<decimal> { 100, 90, 95, 90 }, 0m).SetName("NoRecoveryPartialButNoNewHigh");
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yield return new TestCaseData(new List<decimal> { 50, 100, 98, 99, 100 }, 3m).SetName("RecoveryFromSecondaryPeak3Days");
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yield return new TestCaseData(new List<decimal> { 100, 100, 100 }, 0m).SetName("NoDrawdownFlatLine");
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yield return new TestCaseData(new List<decimal> { 100 }, 0m).SetName("NoDrawdownSingleValue");
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yield return new TestCaseData(new List<decimal>(), 0m).SetName("NoDrawdownEmptyList");
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yield return new TestCaseData(new List<decimal> { 100, 98, 100, 101, 100, 99 }, 2m).SetName("RecoveryBeforeNewHigh2Days");
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yield return new TestCaseData(new List<decimal> { 100, 97, 99, 97, 100 }, 4m).SetName("RecoveryWithMultipleDips4Days");
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}
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}
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}
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