wehub-resource-sync
93 lines
4.9 KiB
C#
93 lines
4.9 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 System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Common.Statistics
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{
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[TestFixture]
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public class StatisticsBuilderTests
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{
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/// <summary>
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/// TradingDaysPerYear: Use like backward compatibility
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/// </summary>
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/// <remarks><see cref="Interfaces.IAlgorithmSettings.TradingDaysPerYear"></remarks>
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protected const int _tradingDaysPerYear = 252;
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[Test]
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public void MisalignedValues_ShouldThrow_DuringGeneration()
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{
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var testBenchmarkPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130),
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};
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var testEquityPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2018, 12, 31, 16, 0, 0), DateTimeKind.Utc), 100000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130000),
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};
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var misalignedTestPerformancePoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2018, 12, 31), DateTimeKind.Utc), 1000m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 0.25m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 0.02m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 0.0784313725490196m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 0 * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 0.090909090909090m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 0.083333333333333m * 100m)
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};
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Assert.Throws<ArgumentException>(() =>
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{
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StatisticsBuilder.Generate(
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new List<Trade>(),
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new SortedDictionary<DateTime, decimal>(),
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testEquityPoints.Cast<ISeriesPoint>().ToList(),
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misalignedTestPerformancePoints.Cast<ISeriesPoint>().ToList(),
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testBenchmarkPoints.Cast<ISeriesPoint>().ToList(),
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new List<ISeriesPoint>(),
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100000m,
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0m,
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1,
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null,
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"$",
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new QuantConnect.Securities.SecurityTransactionManager(
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null,
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new QuantConnect.Securities.SecurityManager(new TimeKeeper(DateTime.UtcNow))),
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new InterestRateProvider(),
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_tradingDaysPerYear);
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}, "Misaligned values provided, but we still generate statistics");
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}
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}
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}
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