wehub-resource-sync
228 lines
9.3 KiB
C#
228 lines
9.3 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 NUnit.Framework;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using System;
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using System.Collections.Generic;
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using static QuantConnect.Tests.Indicators.TestHelper;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class CorrelationPearsonTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override string TestFileName => "spy_qqq_corr.csv";
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private DateTime _reference = new DateTime(2020, 1, 1);
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protected CorrelationType _correlationType { get; set; } = CorrelationType.Pearson;
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protected override string TestColumnName => (_correlationType == CorrelationType.Pearson) ? "Correlation_Pearson" : "Correlation_Spearman";
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protected override IndicatorBase<IBaseDataBar> CreateIndicator()
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{
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Symbol symbolA = Symbols.SPY;
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Symbol symbolB = "QQQ RIWIV7K5Z9LX";
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if (SymbolList.Count > 1)
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{
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symbolA = SymbolList[0];
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symbolB = SymbolList[1];
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}
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#pragma warning disable CS0618
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var indicator = new Correlation("testCorrelationIndicator", symbolA, symbolB, 252, _correlationType);
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#pragma warning restore CS0618
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return indicator;
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}
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protected override List<Symbol> GetSymbols()
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{
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return [Symbols.SPY, Symbols.AAPL];
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}
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[Test]
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public override void TimeMovesForward()
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{
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var indicator = new Correlation("testCorrelationIndicator", Symbols.IBM, Symbols.SPY, 5, _correlationType);
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for (var i = 10; i > 0; i--)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2, indicator.Samples);
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var indicator = new Correlation("testCorrelationIndicator", Symbols.IBM, Symbols.SPY, 5, _correlationType);
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var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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if (!period.HasValue)
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{
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Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
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return;
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}
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for (var i = 0; i < period.Value; i++)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2 * period.Value, indicator.Samples);
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}
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[Test]
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public override void AcceptsRenkoBarsAsInput()
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{
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var indicator = new Correlation(Symbols.SPY, "QQQ RIWIV7K5Z9LX", 70, _correlationType);
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var firstRenkoConsolidator = new RenkoConsolidator(10m);
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var secondRenkoConsolidator = new RenkoConsolidator(10m);
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firstRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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secondRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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int counter = 0;
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "SPY")
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{
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firstRenkoConsolidator.Update(tradebar);
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}
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else
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{
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secondRenkoConsolidator.Update(tradebar);
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counter++;
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}
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if (counter >= 100)
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break;
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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firstRenkoConsolidator.Dispose();
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secondRenkoConsolidator.Dispose();
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}
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[Test]
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public override void AcceptsVolumeRenkoBarsAsInput()
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{
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var indicator = CreateIndicator();
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var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(100000);
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var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000);
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firstVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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secondVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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int counter = 0;
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "SPY")
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{
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firstVolumeRenkoConsolidator.Update(tradebar);
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}
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else
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{
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secondVolumeRenkoConsolidator.Update(tradebar);
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counter++;
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}
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if (counter >= 500)
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break;
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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firstVolumeRenkoConsolidator.Dispose();
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secondVolumeRenkoConsolidator.Dispose();
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}
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[Test]
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public void AcceptsQuoteBarsAsInput()
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{
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var indicator = new Correlation("testCorrelationIndicator", Symbols.IBM, Symbols.SPY, 5, _correlationType);
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for (var i = 10; i > 0; i--)
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{
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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) });
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indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2, indicator.Samples);
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}
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[Test]
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public void EqualCorrelationValue()
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{
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var indicator = new Correlation("testCorrelationIndicator", Symbols.AAPL, Symbols.SPX, 3, _correlationType);
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for (int i = 0; i < 3; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
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}
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Assert.AreEqual(1, (double)indicator.Current.Value);
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}
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[Test]
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public void NotEqualCorrelationValue()
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{
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var indicator = new Correlation("testCorrelationIndicator", Symbols.AAPL, Symbols.SPX, 3, _correlationType);
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for (int i = 0; i < 3; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = i + 2, Time = startTime, EndTime = endTime });
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}
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Assert.AreNotEqual(0, (double)indicator.Current.Value);
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}
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[Test]
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public void CorrelationWithDifferentTimeZones()
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{
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var indicator = new Correlation(Symbols.SPY, Symbols.BTCUSD, 3);
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for (int i = 0; i < 10; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = i + 1, Time = startTime, EndTime = endTime });
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}
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Assert.AreEqual(1, (double)indicator.Current.Value);
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}
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}
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}
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