wehub-resource-sync
392 lines
14 KiB
C#
392 lines
14 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 System;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Python;
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using System.Collections.Generic;
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using QuantConnect.Statistics;
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using System.Reflection;
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namespace QuantConnect.Tests.Python
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{
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public static class PythonWrapperTests
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{
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[TestFixture]
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public class ValidateImplementationOf
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{
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[TestCase(nameof(MissingMethodOne), "ModelMissingMethodOne", "MethodOne")]
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[TestCase(nameof(MissingProperty), "ModelMissingProperty", "PropertyOne")]
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public void ThrowsOnMissingMember(string moduleName, string className, string missingMemberName)
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{
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using (Py.GIL())
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{
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var moduleStr = GetFieldValue(moduleName);
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var module = PyModule.FromString(nameof(ValidateImplementationOf), moduleStr);
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var model = module.GetAttr(className).Invoke();
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws
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.Exception.InstanceOf<NotImplementedException>().With.Message.Contains(missingMemberName));
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}
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}
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[TestCase(nameof(FullyImplemented), "FullyImplementedModel")]
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[TestCase(nameof(FullyImplementedSnakeCase), "FullyImplementedSnakeCaseModel")]
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[TestCase(nameof(FullyImplementedWithPropertyAsField), "FullyImplementedModelWithPropertyAsField")]
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[TestCase(nameof(DerivedFromCsharp), "DerivedFromCSharpModel")]
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public void DoesNotThrowWhenInterfaceFullyImplemented(string moduleName, string className)
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{
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using (Py.GIL())
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{
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var moduleStr = GetFieldValue(moduleName);
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var module = PyModule.FromString(nameof(ValidateImplementationOf), moduleStr);
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var model = module.GetAttr(className).Invoke();
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Assert.That(() => model.ValidateImplementationOf<IModel>(), Throws.Nothing);
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}
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}
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[Test]
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public void SettlementModelPythonWrapperWorks()
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{
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var results = AlgorithmRunner.RunLocalBacktest("CustomSettlementModelRegressionAlgorithm",
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new Dictionary<string, string>()
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{
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{PerformanceMetrics.TotalOrders, "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "119.460%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "1.010%"},
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{"Sharpe Ratio", "-5.989"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "1.011%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.411"},
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{"Beta", "-0.033"},
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{"Annual Standard Deviation", "0.079"},
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{"Annual Variance", "0.006"},
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{"Information Ratio", "-10.086"},
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{"Tracking Error", "0.243"},
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{"Treynor Ratio", "14.619"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py"
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);
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}
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[Test]
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public void BenchmarkModelPythonWrapperWorks()
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{
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var results = AlgorithmRunner.RunLocalBacktest("CustomBenchmarkRegressionAlgorithm",
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new Dictionary<string, string>()
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{
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{PerformanceMetrics.TotalOrders, "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-6.654540153820717E+27"},
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{"Tracking Error", "11.906"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomBenchmarkRegressionAlgorithm.py"
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);
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}
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[Test]
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public void PEP8StyleAlgorithmsImplementationsWork()
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{
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AlgorithmRunner.RunLocalBacktest("PEP8StyleBasicAlgorithm",
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new Dictionary<string, string>()
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{
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{"Total Orders", "1"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "271.453%"},
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{"Drawdown", "2.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "101691.92"},
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{"Net Profit", "1.692%"},
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{"Sharpe Ratio", "8.854"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "67.459%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.005"},
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{"Beta", "0.996"},
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{"Annual Standard Deviation", "0.222"},
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{"Annual Variance", "0.049"},
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{"Information Ratio", "-14.565"},
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{"Tracking Error", "0.001"},
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{"Treynor Ratio", "1.97"},
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{"Total Fees", "$3.44"},
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{"Estimated Strategy Capacity", "$56000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "19.93%"},
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{"OrderListHash", "3da9fa60bf95b9ed148b95e02e0cfc9e"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/PEP8StyleBasicAlgorithm.py"
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);
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}
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[Test]
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public void PEP8StyleCustomModelsWork()
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{
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AlgorithmRunner.RunLocalBacktest("CustomModelsPEP8Algorithm",
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new Dictionary<string, string>()
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{
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{"Total Orders", "63"},
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{"Average Win", "0.10%"},
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{"Average Loss", "-0.06%"},
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{"Compounding Annual Return", "-7.101%"},
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{"Drawdown", "2.400%"},
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{"Expectancy", "-0.181"},
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{"Start Equity", "100000"},
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{"End Equity", "99383.07"},
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{"Net Profit", "-0.617%"},
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{"Sharpe Ratio", "-1.441"},
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{"Sortino Ratio", "-1.977"},
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{"Probabilistic Sharpe Ratio", "20.329%"},
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{"Loss Rate", "69%"},
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{"Win Rate", "31%"},
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{"Profit-Loss Ratio", "1.64"},
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{"Alpha", "-0.101"},
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{"Beta", "0.121"},
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{"Annual Standard Deviation", "0.04"},
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{"Annual Variance", "0.002"},
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{"Information Ratio", "-4.109"},
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{"Tracking Error", "0.102"},
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{"Treynor Ratio", "-0.475"},
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{"Total Fees", "$62.23"},
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{"Estimated Strategy Capacity", "$52000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "197.93%"},
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{"OrderListHash", "fe01fe4923e8856fe3376ece636b4e23"}
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},
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Language.Python,
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AlgorithmStatus.Completed,
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algorithmLocation: "../../../Algorithm.Python/CustomModelsPEP8Algorithm.py"
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);
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}
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private static string GetFieldValue(string name)
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{
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return typeof(ValidateImplementationOf).GetField(name, BindingFlags.Static | BindingFlags.NonPublic).GetValue(null) as string;
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}
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private const string FullyImplemented =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class FullyImplementedModel:
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def MethodOne():
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pass
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def MethodTwo():
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pass
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@property
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def PropertyOne(self):
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return 'value'
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";
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private const string FullyImplementedSnakeCase =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class FullyImplementedSnakeCaseModel:
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def method_one():
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pass
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def method_two():
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pass
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@property
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def property_one(self):
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pass
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";
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private const string FullyImplementedWithPropertyAsField =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class FullyImplementedModelWithPropertyAsField:
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def method_one():
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pass
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def method_two():
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pass
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def __init__(self):
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self.property_one = 'value'
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";
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private const string DerivedFromCsharp =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class DerivedFromCSharpModel(PythonWrapperTests.ValidateImplementationOf.Model):
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def MethodOne():
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pass
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@property
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def PropertyOne(self):
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return 'value'
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";
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private const string MissingMethodOne =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class ModelMissingMethodOne:
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def MethodTwo():
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pass
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@property
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def PropertyOne(self):
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return 'value'
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";
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private const string MissingProperty =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class ModelMissingProperty:
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def MethodOne():
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pass
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def MethodTwo():
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pass
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";
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interface IModel
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{
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string PropertyOne { get; set; }
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void MethodOne();
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void MethodTwo();
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}
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public class Model : IModel
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{
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public string PropertyOne { get; set; }
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public void MethodOne()
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{
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}
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public void MethodTwo()
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{
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}
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}
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}
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[TestFixture]
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public class InvokeTests
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{
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[Test]
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public void InvokesCSharpMethod()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(InvokeTests), InvokeModule);
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var model = module.GetAttr("PythonInvokeTestsModel").Invoke();
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Assert.That(model.InvokeMethod<int>("AddThreeNumbers", 1, 2, 3), Is.EqualTo(6));
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}
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}
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[Test]
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public void InvokesPythonMethod()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(nameof(InvokeTests), InvokeModule);
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var model = module.GetAttr("PythonInvokeTestsModel").Invoke();
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Assert.That(model.InvokeMethod<int>("AddTwoNumbers", 1, 2), Is.EqualTo(3));
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}
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}
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private const string InvokeModule =
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@"
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from clr import AddReference
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AddReference('QuantConnect.Tests')
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from QuantConnect.Tests.Python import *
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class PythonInvokeTestsModel(PythonWrapperTests.InvokeTests.InvokeTestsModel):
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def add_two_numbers(self, a, b):
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return a + b
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";
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public class InvokeTestsModel
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{
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public int AddTwoNumbers(int a, int b)
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{
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throw new NotImplementedException();
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}
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public int AddThreeNumbers(int a, int b, int c)
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{
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return a + b + c;
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}
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}
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}
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}
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}
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