wehub-resource-sync
111 lines
4.4 KiB
C#
111 lines
4.4 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.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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public class ProbabilisticSharpeRatioTests
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{
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[Test]
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public void SameAsBenchmark()
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{
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var performance = new List<double> { 0.01, 0.02, 0.01, 0, 0, 3 };
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var benchmark = new List<double> { 0.01, 0.02, 0.01, 0, 0, 3 };
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var benchmarkSharpeRatio = QuantConnect.Statistics.Statistics.ObservedSharpeRatio(benchmark);
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var result = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance,
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benchmarkSharpeRatio);
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// they zero each other out
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Assert.AreEqual(0.5d, result, 0.001);
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}
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[Test]
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public void BeatBenchmark()
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{
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var performance = new List<double> { 0.01, 0.02, 0.01, 0, 0,3 };
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var benchmark = new List<double> { 0, 0, 0, -0.1, 0, 0.01, 0 };
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var benchmarkSharpeRatio = QuantConnect.Statistics.Statistics.ObservedSharpeRatio(benchmark);
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var result = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance,
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benchmarkSharpeRatio);
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Assert.AreEqual(1d, result, 0.001);
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}
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[Test]
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public void LoseAgainstBenchmark()
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{
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var benchmark = new List<double> { 0.01, 0.02, 0.01, 0, 0, 3 };
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var performance = new List<double> { 0, 0, 0, -0.1, 0, 0.01, 0 };
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var benchmarkSharpeRatio = QuantConnect.Statistics.Statistics.ObservedSharpeRatio(benchmark);
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var result = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance,
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benchmarkSharpeRatio);
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Assert.AreEqual(0d, result, 0.001);
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}
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[Test]
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public void ZeroValues()
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{
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var benchmark = new List<double> { 0, 0, 0 };
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var performance = new List<double> { 0, 0, 0 };
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var benchmarkSharpeRatio = QuantConnect.Statistics.Statistics.ObservedSharpeRatio(benchmark);
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var result = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance,
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benchmarkSharpeRatio);
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Assert.AreEqual(0d, result, 0.001);
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}
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[Test]
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public void UsesRiskFreeRateForObservedSharpeRatio()
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{
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// Gross returns clear the benchmark, so on a gross basis the PSR is high
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var performance = new List<double> { 0.01, 0.02, 0.01, 0, 0, 3 };
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var benchmarkSharpeRatio = 1.0d / System.Math.Sqrt(252);
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var grossResult = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance, benchmarkSharpeRatio);
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// A per-sample risk free rate above the average return makes the excess return negative,
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// so the PSR must collapse below the gross one
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var excessReturnResult = QuantConnect.Statistics.Statistics.ProbabilisticSharpeRatio(performance, benchmarkSharpeRatio, 0.6);
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Assert.Greater(grossResult, 0.5d);
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Assert.Less(excessReturnResult, 0.5d);
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Assert.Greater(grossResult, excessReturnResult);
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}
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[Test]
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public void ObservedSharpeRatioSubtractsRiskFreeRate()
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{
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var performance = new List<double> { 0.02, 0.04 };
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// A risk free rate equal to the average return zeroes the excess observed sharpe ratio
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Assert.AreEqual(0d, QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance, 0.03d), 1e-12);
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// and it is strictly lower than the gross observed sharpe ratio
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Assert.Greater(QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance),
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QuantConnect.Statistics.Statistics.ObservedSharpeRatio(performance, 0.03d));
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}
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}
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}
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