wehub-resource-sync
317 lines
14 KiB
C#
317 lines
14 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data.Consolidators;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Indicators;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
using MathNet.Numerics.Statistics;
|
|
using static QuantConnect.Tests.Indicators.TestHelper;
|
|
|
|
namespace QuantConnect.Tests.Indicators
|
|
{
|
|
[TestFixture]
|
|
public class BetaIndicatorTests : CommonIndicatorTests<IBaseDataBar>
|
|
{
|
|
protected override string TestFileName => "bi_datatest.csv";
|
|
|
|
protected override string TestColumnName => "Beta";
|
|
|
|
private DateTime _reference = new DateTime(2020, 1, 1);
|
|
|
|
protected override IndicatorBase<IBaseDataBar> CreateIndicator()
|
|
{
|
|
Symbol symbolA = "AMZN 2T";
|
|
Symbol symbolB = "SPX 2T";
|
|
if (SymbolList.Count > 1)
|
|
{
|
|
symbolA = SymbolList[0];
|
|
symbolB = SymbolList[1];
|
|
}
|
|
#pragma warning disable CS0618
|
|
var indicator = new Beta("testBetaIndicator", symbolA, symbolB, 5);
|
|
#pragma warning restore CS0618
|
|
return indicator;
|
|
}
|
|
|
|
protected override List<Symbol> GetSymbols()
|
|
{
|
|
return [Symbols.SPY, Symbols.AAPL];
|
|
}
|
|
|
|
[Test]
|
|
public override void TimeMovesForward()
|
|
{
|
|
var indicator = new Beta("testBetaIndicator", Symbols.IBM, Symbols.SPY, 5);
|
|
|
|
for (var i = 10; i > 0; i--)
|
|
{
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
|
|
}
|
|
|
|
Assert.AreEqual(2, indicator.Samples);
|
|
}
|
|
|
|
[Test]
|
|
public override void WarmsUpProperly()
|
|
{
|
|
var indicator = new Beta("testBetaIndicator", Symbols.IBM, Symbols.SPY, 5);
|
|
var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
|
|
|
|
if (!period.HasValue)
|
|
{
|
|
Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
|
|
return;
|
|
}
|
|
|
|
for (var i = 0; i < period.Value; i++)
|
|
{
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
|
|
}
|
|
|
|
Assert.AreEqual(2 * period.Value, indicator.Samples);
|
|
}
|
|
|
|
[Test]
|
|
public override void WorksWithLowValues()
|
|
{
|
|
#pragma warning disable CS0618
|
|
Symbol = "SPX 2T";
|
|
#pragma warning restore CS0618
|
|
base.WorksWithLowValues();
|
|
}
|
|
|
|
[Test]
|
|
public override void AcceptsRenkoBarsAsInput()
|
|
{
|
|
var indicator = CreateIndicator();
|
|
var firstRenkoConsolidator = new RenkoConsolidator(10m);
|
|
var secondRenkoConsolidator = new RenkoConsolidator(10m);
|
|
firstRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
|
|
{
|
|
Assert.DoesNotThrow(() => indicator.Update(renkoBar));
|
|
};
|
|
|
|
secondRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
|
|
{
|
|
Assert.DoesNotThrow(() => indicator.Update(renkoBar));
|
|
};
|
|
|
|
foreach (var parts in GetCsvFileStream(TestFileName))
|
|
{
|
|
var tradebar = parts.GetTradeBar();
|
|
if (tradebar.Symbol.Value == "AMZN")
|
|
{
|
|
firstRenkoConsolidator.Update(tradebar);
|
|
}
|
|
else
|
|
{
|
|
secondRenkoConsolidator.Update(tradebar);
|
|
}
|
|
}
|
|
|
|
Assert.IsTrue(indicator.IsReady);
|
|
Assert.AreNotEqual(0, indicator.Samples);
|
|
firstRenkoConsolidator.Dispose();
|
|
secondRenkoConsolidator.Dispose();
|
|
}
|
|
|
|
[Test]
|
|
public override void AcceptsVolumeRenkoBarsAsInput()
|
|
{
|
|
var indicator = CreateIndicator();
|
|
var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000);
|
|
var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000000);
|
|
firstVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
|
|
{
|
|
Assert.DoesNotThrow(() => indicator.Update(renkoBar));
|
|
};
|
|
|
|
secondVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
|
|
{
|
|
Assert.DoesNotThrow(() => indicator.Update(renkoBar));
|
|
};
|
|
|
|
foreach (var parts in GetCsvFileStream(TestFileName))
|
|
{
|
|
var tradebar = parts.GetTradeBar();
|
|
if (tradebar.Symbol.Value == "AMZN")
|
|
{
|
|
firstVolumeRenkoConsolidator.Update(tradebar);
|
|
}
|
|
else
|
|
{
|
|
secondVolumeRenkoConsolidator.Update(tradebar);
|
|
}
|
|
}
|
|
|
|
Assert.IsTrue(indicator.IsReady);
|
|
Assert.AreNotEqual(0, indicator.Samples);
|
|
firstVolumeRenkoConsolidator.Dispose();
|
|
secondVolumeRenkoConsolidator.Dispose();
|
|
}
|
|
|
|
|
|
[Test]
|
|
public void AcceptsQuoteBarsAsInput()
|
|
{
|
|
var indicator = new Beta("testBetaIndicator", Symbols.IBM, Symbols.SPY, 5);
|
|
|
|
for (var i = 10; i > 0; i--)
|
|
{
|
|
indicator.Update(new QuoteBar { Symbol = Symbols.IBM, Ask = new Bar(1, 2, 1, 500), Bid = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
|
|
indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
|
|
}
|
|
|
|
Assert.AreEqual(2, indicator.Samples);
|
|
}
|
|
|
|
[Test]
|
|
public void EqualBetaValue()
|
|
{
|
|
var indicator = new Beta("testBetaIndicator", Symbols.AAPL, Symbols.SPX, 5);
|
|
|
|
for (int i = 0; i < 3; i++)
|
|
{
|
|
var startTime = _reference.AddDays(1 + i);
|
|
var endTime = startTime.AddDays(1);
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
|
|
}
|
|
|
|
Assert.AreEqual(1, (double)indicator.Current.Value, 0.0001);
|
|
}
|
|
|
|
[Test]
|
|
public void NotEqualBetaValue()
|
|
{
|
|
var indicator = new Beta("testBetaIndicator", Symbols.AAPL, Symbols.SPX, 5);
|
|
|
|
for (int i = 0; i < 3; i++)
|
|
{
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = _reference.AddDays(1 + i) });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = i + 2, Time = _reference.AddDays(1 + i) });
|
|
}
|
|
|
|
Assert.AreNotEqual(1, (double)indicator.Current.Value);
|
|
}
|
|
|
|
[Test]
|
|
public void ValidateBetaCalculation()
|
|
{
|
|
var beta = new Beta(Symbols.AAPL, Symbols.SPX, 3);
|
|
|
|
var values = new List<TradeBar>()
|
|
{
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) },
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) },
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
|
|
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
|
|
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
|
|
};
|
|
|
|
// Calculating beta manually using the formula: Beta = Covariance(AAPL, SPX) / Variance(SPX)
|
|
var closeAAPL = new List<double>() { 10, 15, 90, 105 };
|
|
var closeSPX = new List<double>() { 35, 80, 37, 302 };
|
|
var priceChangesAAPL = new List<double>();
|
|
var priceChangesSPX = new List<double>();
|
|
for (int i = 1; i < 4; i++)
|
|
{
|
|
priceChangesAAPL.Add((closeAAPL[i] - closeAAPL[i - 1]) / closeAAPL[i - 1]);
|
|
priceChangesSPX.Add((closeSPX[i] - closeSPX[i - 1]) / closeSPX[i - 1]);
|
|
}
|
|
var variance = priceChangesSPX.Variance();
|
|
var covariance = priceChangesAAPL.Covariance(priceChangesSPX);
|
|
var expectedBeta = (decimal)(covariance / variance);
|
|
|
|
// Calculating beta using the indicator
|
|
for (int i = 0; i < values.Count; i++)
|
|
{
|
|
beta.Update(values[i]);
|
|
}
|
|
|
|
Assert.AreEqual(expectedBeta, beta.Current.Value);
|
|
}
|
|
|
|
[Test]
|
|
public void BetaWithDifferentTimeZones()
|
|
{
|
|
var indicator = new Beta(Symbols.SPY, Symbols.BTCUSD, 5);
|
|
|
|
for (int i = 0; i < 10; i++)
|
|
{
|
|
var startTime = _reference.AddDays(1 + i);
|
|
var endTime = startTime.AddDays(1);
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
|
|
}
|
|
Assert.AreEqual(1, (double)indicator.Current.Value);
|
|
}
|
|
|
|
[Test]
|
|
public override void TracksPreviousState()
|
|
{
|
|
var period = 5;
|
|
var indicator = new Beta(Symbols.SPY, Symbols.AAPL, period);
|
|
var previousValue = indicator.Current.Value;
|
|
|
|
// Update the indicator and verify the previous values
|
|
for (var i = 1; i < 2 * period; i++)
|
|
{
|
|
var startTime = _reference.AddDays(1 + i);
|
|
var endTime = startTime.AddDays(1);
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
|
|
// Verify the previous value matches the indicator's previous value
|
|
Assert.AreEqual(previousValue, indicator.Previous.Value);
|
|
|
|
// Update previousValue to the current value for the next iteration
|
|
previousValue = indicator.Current.Value;
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public override void IndicatorShouldHaveSymbolAfterUpdates()
|
|
{
|
|
var period = 5;
|
|
var indicator = new Beta(Symbols.SPY, Symbols.AAPL, period);
|
|
|
|
for (var i = 0; i < 2 * period; i++)
|
|
{
|
|
var startTime = _reference.AddDays(1 + i);
|
|
var endTime = startTime.AddDays(1);
|
|
// Update with the first symbol (SPY) — indicator.Current.Symbol should reflect this update
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
|
|
Assert.AreEqual(Symbols.SPY, indicator.Current.Symbol);
|
|
|
|
// Update with the first symbol (AAPL) — indicator.Current.Symbol should reflect this update
|
|
indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
|
|
Assert.AreEqual(Symbols.AAPL, indicator.Current.Symbol);
|
|
}
|
|
}
|
|
}
|
|
}
|