wehub-resource-sync
102 lines
3.6 KiB
C#
102 lines
3.6 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 Accord.Math;
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using NUnit.Framework;
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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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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class SortinoRatioTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new SortinoRatio("SORTINO", 15);
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}
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protected override string TestFileName => "spy_sortino.csv";
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protected override string TestColumnName => "sortino_rf_0_period_15";
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[Test]
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public void TestConstantValues()
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{
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// With the value not changing, the indicator should return default value 0m.
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var sortino = new SortinoRatio("SORTINO", 15);
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// push the value 100000 into the indicator 20 times
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var time = DateTime.MinValue;
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for(int i = 0; i < 20; i++) {
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IndicatorDataPoint point = new IndicatorDataPoint(time.AddDays(i), 100000m);
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sortino.Update(point);
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}
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Assert.AreEqual(sortino.Current.Value, 0m);
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}
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[Test]
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public void TestOnlyIncreasingValues()
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{
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// With the value increasing each step, the indicator should return 0m.
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var sr = new SortinoRatio("SORTINO", 15);
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// push only increasing values into the indicator
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var time = DateTime.MinValue;
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for (int i = 20; i > 0; i--) {
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IndicatorDataPoint point = new IndicatorDataPoint(time.AddDays(20-i), 100000m + i);
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sr.Update(point);
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}
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Assert.AreNotEqual(sr.Current.Value, 0m);
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}
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[Test]
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public void TestValuesFromCMEGroup()
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{
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// Source: https://www.cmegroup.com/education/files/rr-sortino-a-sharper-ratio.pdf
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List<decimal> values = new List<decimal>();
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values.Add(1m);
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var annualReturns = new[] { .17, .15, .23, -.05, .12, .09, .13, -.04 };
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for (var i = 0; i < annualReturns.Count(x => true); i++)
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{
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values.Add(values[i] * (decimal)(1 + annualReturns[i]));
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}
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var periods = annualReturns.Count(x => true);
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var sr = new SortinoRatio("SORTINO", periods, minimumAcceptableReturn: 0);
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var time = DateTime.MinValue;
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for (int i = 0; i <= periods; i++)
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{
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IndicatorDataPoint point = new IndicatorDataPoint(time.AddDays(i), values[i]);
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sr.Update(point);
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}
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Assert.AreEqual(4.417, sr.Current.Value.RoundToSignificantDigits(4));
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}
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[Test]
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public void RunTestIndicatorWithNonZeroRiskFreeRate()
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{
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TestHelper.TestIndicator(new SortinoRatio("SORTINO", 15, 0.01), TestFileName, "sortino_rf_0.01_period_15", Assertion);
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}
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}
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}
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