wehub-resource-sync
83 lines
2.7 KiB
C#
83 lines
2.7 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.Indicators;
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using System;
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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 ValueAtRiskTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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private const int _tradingDays = 252;
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protected override string TestFileName => "spy_valueatrisk.csv";
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protected override string TestColumnName => "VaR_99";
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new ValueAtRisk(_tradingDays, 0.99d);
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}
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protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 1e-3); }
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}
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[Test]
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public void ComparesAgainstExternalData95()
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{
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var indicator = new ValueAtRisk(_tradingDays, 0.95);
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TestHelper.TestIndicator(indicator, TestFileName, "VaR_95", Assertion);
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}
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[Test]
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public void ComparesAgainstExternalData90()
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{
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var indicator = new ValueAtRisk(_tradingDays, 0.9d);
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TestHelper.TestIndicator(indicator, TestFileName, "VaR_90", Assertion);
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}
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[Test]
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public void DivisonByZero()
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{
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var indicator = CreateIndicator();
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for (int i = 0; i < _tradingDays; i++)
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{
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var indicatorDataPoint = new IndicatorDataPoint(new DateTime(), 0);
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indicator.Update(indicatorDataPoint);
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}
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Assert.AreEqual(indicator.Current.Value, 0m);
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Assert.IsTrue(indicator.IsReady);
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}
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[Test]
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public void PeriodBelowMinimumThrows()
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{
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var period = 2;
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var exception = Assert.Throws<ArgumentException>(() => new ValueAtRisk(period, 0.99d));
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Assert.That(exception.Message, Is.EqualTo($"Period parameter for ValueAtRisk indicator must be greater than 2 but was {period}"));
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}
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}
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}
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