wehub-resource-sync
292 lines
13 KiB
C#
292 lines
13 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 System.Linq;
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using MathNet.Numerics.Statistics;
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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]
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public class CovarianceTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override string TestFileName => "spy_qqq_cov.csv";
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protected override string TestColumnName => "Covariance";
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private DateTime _reference = new DateTime(2020, 1, 1);
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protected override IndicatorBase<IBaseDataBar> CreateIndicator()
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{
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Symbol symbolA;
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Symbol symbolB;
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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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else
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{
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symbolA = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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symbolB = Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
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}
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var indicator = new Covariance("testCovarianceIndicator", symbolA, symbolB, 252);
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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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var QQQ = Symbol.Create("QQQ", SecurityType.Equity, Market.USA);
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return [Symbols.SPY, QQQ];
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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 Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);
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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 Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);
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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 WorksWithLowValues()
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{
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SymbolList = GetSymbols();
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Symbol = SymbolList[1];
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base.WorksWithLowValues();
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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 Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5);
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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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foreach (var parts in GetCsvFileStream(TestFileName).Take(50))
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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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}
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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 = new Covariance("testCovarianceIndicator", Symbols.SPY, Symbol.Create("QQQ", SecurityType.Equity, Market.USA), 5);
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var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000);
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var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000000);
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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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foreach (var parts in GetCsvFileStream(TestFileName).Take(50))
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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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}
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}
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// With VolumeRenkoConsolidator(1000000000), limited data won't produce enough bars
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// The test verifies the indicator accepts the input, not that it becomes ready
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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 Covariance("testCovarianceIndicator", Symbols.IBM, Symbols.SPY, 5);
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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 ValidateCovarianceCalculation()
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{
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var cov = new Covariance(Symbols.AAPL, Symbols.SPX, 3);
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var values = new List<TradeBar>()
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{
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
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};
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// Calculating covariance manually
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var closeAAPL = new List<double>() { 10, 15, 90, 105 };
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var closeSPX = new List<double>() { 35, 80, 37, 302 };
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var priceChangesAAPL = new List<double>();
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var priceChangesSPX = new List<double>();
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for (int i = 1; i < 4; i++)
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{
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priceChangesAAPL.Add((closeAAPL[i] - closeAAPL[i - 1]) / closeAAPL[i - 1]);
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priceChangesSPX.Add((closeSPX[i] - closeSPX[i - 1]) / closeSPX[i - 1]);
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}
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var expectedCovariance = priceChangesAAPL.Covariance(priceChangesSPX);
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// Calculating covariance using the indicator
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for (int i = 0; i < values.Count; i++)
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{
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cov.Update(values[i]);
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}
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Assert.AreEqual((decimal)expectedCovariance, cov.Current.Value);
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}
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[Test]
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public void CovarianceWithDifferentTimeZones()
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{
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var indicator = new Covariance(Symbols.SPY, Symbols.BTCUSD, 5);
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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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// All close prices are increasing by constant amount, so returns are decreasing but positive.
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// Both assets have same prices, so covariance should be equal to variance of either.
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Assert.IsTrue(indicator.Current.Value > 0);
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}
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[Test]
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public override void TracksPreviousState()
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{
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var period = 5;
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var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period);
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var previousValue = indicator.Current.Value;
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// Update the indicator and verify the previous values
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for (var i = 1; i < 2 * period; 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 = 1000 + i * 10, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
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// Verify the previous value matches the indicator's previous value
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Assert.AreEqual(previousValue, indicator.Previous.Value);
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// Update previousValue to the current value for the next iteration
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previousValue = indicator.Current.Value;
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}
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}
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[Test]
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public override void IndicatorShouldHaveSymbolAfterUpdates()
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{
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var period = 5;
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var indicator = new Covariance(Symbols.SPY, Symbols.AAPL, period);
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for (var i = 0; i < 2 * period; 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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// Update with the first symbol (SPY) — indicator.Current.Symbol should reflect this update
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
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Assert.AreEqual(Symbols.SPY, indicator.Current.Symbol);
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// Update with the first symbol (AAPL) — indicator.Current.Symbol should reflect this update
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
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Assert.AreEqual(Symbols.AAPL, indicator.Current.Symbol);
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}
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}
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}
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}
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