wehub-resource-sync
128 lines
4.5 KiB
C#
128 lines
4.5 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 Python.Runtime;
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using QuantConnect.Algorithm.Framework.Alphas;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Tests.Common.Data.UniverseSelection;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas
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{
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[TestFixture]
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public class MacdAlphaModelTests : CommonAlphaModelTests
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{
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protected override IAlphaModel CreateCSharpAlphaModel() => new MacdAlphaModel();
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protected override IAlphaModel CreatePythonAlphaModel()
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{
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using (Py.GIL())
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{
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dynamic model = Py.Import("MacdAlphaModel").GetAttr("MacdAlphaModel");
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var instance = model();
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return new AlphaModelPythonWrapper(instance);
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}
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}
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protected override IEnumerable<Insight> ExpectedInsights()
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{
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var period = TimeSpan.FromDays(12);
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return new[]
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{
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Insight.Price(Symbols.SPY, period, InsightDirection.Up),
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Insight.Price(Symbols.SPY, period, InsightDirection.Down),
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Insight.Price(Symbols.SPY, period, InsightDirection.Up)
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};
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}
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protected override string GetExpectedModelName(IAlphaModel model)
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{
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return $"{nameof(MacdAlphaModel)}(12,26,9,Exponential,Daily)";
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}
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[Test]
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public void MacdAlphaModelWarmsUpProperly()
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{
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SetUpHistoryProvider();
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Algorithm.SetStartDate(2013, 10, 08);
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// Create a MacdAlphaModel for the test
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var model = new TestMacdAlphaModel();
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// Set the alpha model
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Algorithm.SetAlpha(model);
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Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
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var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
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Algorithm.OnFrameworkSecuritiesChanged(changes);
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// Get the dictionary of macd indicators
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var symbolData = model.GetSymbolData();
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// Check the symbolData dictionary is not empty
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Assert.NotZero(symbolData.Count);
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// Check all MACD indicators from the alpha are ready and have at least
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// one datapoint
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foreach (var item in symbolData)
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{
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var macd = item.Value.MACD;
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Assert.IsTrue(macd.IsReady);
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Assert.NotZero(macd.Samples);
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}
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}
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[Test]
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public void PythonMacdAlphaModelWarmsUpProperly()
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{
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using (Py.GIL())
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{
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SetUpHistoryProvider();
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Algorithm.SetStartDate(2013, 10, 08);
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Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
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// Create and set alpha model
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dynamic model = Py.Import("MacdAlphaModel").GetAttr("MacdAlphaModel");
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var instance = model();
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Algorithm.SetAlpha(instance);
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var changes = SecurityChangesTests.CreateNonInternal(AddedSecurities, RemovedSecurities);
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Algorithm.OnFrameworkSecuritiesChanged(changes);
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// Get the dictionary of macd indicators
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var symbolData = instance.symbolData;
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// Check the dictionary is not empty
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Assert.NotZero(symbolData.Length());
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// Check all MACD indicators from the alpha are ready and have at least
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// one datapoint
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foreach (var item in symbolData)
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{
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var macd = symbolData[item].MACD;
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Assert.IsTrue(macd.IsReady.IsTrue());
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Assert.NotZero(((PyObject)macd.Samples).GetAndDispose<int>());
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}
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}
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}
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}
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}
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