wehub-resource-sync
244 lines
10 KiB
C#
244 lines
10 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 NodaTime;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Tests.Engine.DataFeeds;
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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 QuantConnect.Tests.Common.Data.UniverseSelection;
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namespace QuantConnect.Tests.Algorithm.Framework.Portfolio
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{
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[TestFixture]
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public abstract class BaseWeightingPortfolioConstructionModelTests
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{
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protected decimal StartingCash => 100000;
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protected QCAlgorithm Algorithm { get; set; }
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public virtual double? Weight => Algorithm.Securities.Count == 0 ? default(double) : 1d / Algorithm.Securities.Count;
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[OneTimeSetUp]
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public virtual void SetUp()
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{
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Algorithm = new QCAlgorithm();
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Algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(Algorithm));
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}
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[TearDown]
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public void TearDown() => Algorithm.Insights.Clear(Algorithm.Securities.Keys.ToArray());
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void AutomaticallyRemoveInvestedWithoutNewInsights(Language language)
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{
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SetPortfolioConstruction(language);
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// Let's create a position for SPY
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var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, Algorithm.UtcTime) };
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foreach (var target in Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights))
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{
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var holding = Algorithm.Portfolio[target.Symbol];
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holding.SetHoldings(holding.Price, target.Quantity);
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Algorithm.Portfolio.SetCash(StartingCash - holding.HoldingsValue);
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}
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SetUtcTime(Algorithm.UtcTime.AddDays(2));
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var expectedTargets = new List<IPortfolioTarget> { new PortfolioTarget(Symbols.SPY, 0) };
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// Create target from an empty insights array
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, new Insight[0]);
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AssertTargets(expectedTargets, actualTargets);
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}
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void DelistedSecurityEmitsFlatTargetWithoutNewInsights(Language language)
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{
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SetPortfolioConstruction(language);
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var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
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var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
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Assert.AreEqual(1, targets.Count);
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var changes = SecurityChangesTests.RemovedNonInternal(Algorithm.Securities[Symbols.SPY]);
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Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
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var expectedTargets = new List<IPortfolioTarget> { new PortfolioTarget(Symbols.SPY, 0) };
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// Create target from an empty insights array
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, new Insight[0]);
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AssertTargets(expectedTargets, actualTargets);
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}
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void DoesNotReturnTargetsIfSecurityPriceIsZero(Language language)
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.AddEquity(Symbols.SPY.Value);
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algorithm.SetDateTime(DateTime.MinValue.ConvertToUtc(Algorithm.TimeZone));
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SetPortfolioConstruction(language);
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var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, algorithm.UtcTime) };
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var actualTargets = algorithm.PortfolioConstruction.CreateTargets(algorithm, insights);
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Assert.AreEqual(0, actualTargets.Count());
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}
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void DoesNotThrowWithAlternativeOverloads(Language language)
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{
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Assert.DoesNotThrow(() => SetPortfolioConstruction(language, Resolution.Minute));
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Assert.DoesNotThrow(() => SetPortfolioConstruction(language, TimeSpan.FromDays(1)));
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Assert.DoesNotThrow(() => SetPortfolioConstruction(language, Expiry.EndOfWeek));
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}
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void EmptyInsightsReturnsEmptyTargets(Language language)
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{
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SetPortfolioConstruction(language);
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, new Insight[0]);
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Assert.AreEqual(0, actualTargets.Count());
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}
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[Test]
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void LongTermInsightPreservesPosition(Language language)
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{
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SetPortfolioConstruction(language);
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// First emit long term insight
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var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
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var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
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Assert.AreEqual(1, targets.Count);
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// One minute later, emits short term insight
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SetUtcTime(Algorithm.UtcTime.AddMinutes(1));
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insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, Algorithm.UtcTime, Time.OneMinute) };
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targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
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Assert.AreEqual(1, targets.Count);
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// One minute later, emit empty insights array
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SetUtcTime(Algorithm.UtcTime.AddMinutes(1.1));
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var expectedTargets = GetTargetsForSPY();
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// Create target from an empty insights array
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var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, new Insight[0]);
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AssertTargets(expectedTargets, actualTargets);
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}
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[Test]
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public abstract void AutomaticallyRemoveInvestedWithNewInsights(Language language, InsightDirection direction);
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[Test]
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public abstract void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction);
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[TestCase(Language.CSharp, InsightDirection.Up)]
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[TestCase(Language.CSharp, InsightDirection.Down)]
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[TestCase(Language.CSharp, InsightDirection.Flat)]
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[TestCase(Language.Python, InsightDirection.Up)]
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[TestCase(Language.Python, InsightDirection.Down)]
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[TestCase(Language.Python, InsightDirection.Flat)]
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public abstract void FlatDirectionNotAccountedToAllocation(Language language, InsightDirection direction);
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public abstract IPortfolioConstructionModel GetPortfolioConstructionModel(Language language, dynamic paramenter = null);
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public abstract Insight GetInsight(Symbol symbol, InsightDirection direction, DateTime generatedTimeUtc, TimeSpan? period = null, double? weight = 0.01);
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public void AssertTargets(IEnumerable<IPortfolioTarget> expectedTargets, IEnumerable<IPortfolioTarget> actualTargets)
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{
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var list = actualTargets.ToList();
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Assert.AreEqual(expectedTargets.Count(), list.Count);
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foreach (var expected in expectedTargets)
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{
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var actual = list.FirstOrDefault(x => x.Symbol == expected.Symbol);
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Assert.IsNotNull(actual);
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Assert.AreEqual(expected.Quantity, actual.Quantity);
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}
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}
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protected Security GetSecurity(Symbol symbol) =>
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new Equity(
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symbol,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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public virtual List<IPortfolioTarget> GetTargetsForSPY()
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{
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return new List<IPortfolioTarget> { PortfolioTarget.Percent(Algorithm, Symbols.SPY, -1m) };
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}
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protected void SetPortfolioConstruction(Language language, dynamic paramenter = null)
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{
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var model = GetPortfolioConstructionModel(language, paramenter ?? Resolution.Daily);
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Algorithm.SetPortfolioConstruction(model);
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foreach (var kvp in Algorithm.Portfolio)
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{
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kvp.Value.SetHoldings(kvp.Value.Price, 0);
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}
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Algorithm.Portfolio.SetCash(StartingCash);
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SetUtcTime(new DateTime(2018, 7, 31));
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var changes = SecurityChangesTests.AddedNonInternal(Algorithm.Securities.Values.ToArray());
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Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
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}
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protected void SetUtcTime(DateTime dateTime) => Algorithm.SetDateTime(dateTime.ConvertToUtc(Algorithm.TimeZone));
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}
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}
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