wehub-resource-sync
103 lines
4.0 KiB
C#
103 lines
4.0 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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*/
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using System.Linq;
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using Moq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Risk;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Tests.Algorithm.Framework.Risk
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{
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[TestFixture]
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public class MaximumDrawdownPercentPerSecurityTests
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{
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[Test]
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[TestCase(Language.CSharp, 0.1, false, 0, 0, false)]
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[TestCase(Language.CSharp, 0.1, true, -50, 1000, false)]
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[TestCase(Language.CSharp, 0.1, true, -100, 1000, false)]
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[TestCase(Language.CSharp, 0.1, true, -150, 1000, true)]
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[TestCase(Language.Python, 0.1, false, 0, 0, false)]
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[TestCase(Language.Python, 0.1, true, -50, 1000, false)]
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[TestCase(Language.Python, 0.1, true, -100, 1000, false)]
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[TestCase(Language.Python, 0.1, true, -150, 1000, true)]
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public void ReturnsExpectedPortfolioTarget(
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Language language,
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decimal maxDrawdownPercent,
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bool invested,
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decimal unrealizedProfit,
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decimal absoluteHoldingsCost,
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bool shouldLiquidate)
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{
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var security = new Mock<Equity>(
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Symbols.AAPL,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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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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Exchange.UNKNOWN
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);
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security.Setup(m => m.Invested).Returns(invested);
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var holding = new Mock<EquityHolding>(security.Object,
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new IdentityCurrencyConverter(Currencies.USD));
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holding.Setup(m => m.UnrealizedProfit).Returns(unrealizedProfit);
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holding.Setup(m => m.AbsoluteHoldingsCost).Returns(absoluteHoldingsCost);
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holding.Setup(m => m.UnrealizedProfitPercent).Returns(absoluteHoldingsCost == 0m? 0m : unrealizedProfit / absoluteHoldingsCost);
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security.Object.Holdings = holding.Object;
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.Securities.Add(Symbols.AAPL, security.Object);
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if (language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(MaximumDrawdownPercentPerSecurity);
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var instance = Py.Import(name).GetAttr(name).Invoke(maxDrawdownPercent.ToPython());
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var model = new RiskManagementModelPythonWrapper(instance);
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algorithm.SetRiskManagement(model);
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}
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}
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else
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{
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var model = new MaximumDrawdownPercentPerSecurity(maxDrawdownPercent);
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algorithm.SetRiskManagement(model);
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}
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var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
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if (shouldLiquidate)
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{
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Assert.AreEqual(1, targets.Count);
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Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
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Assert.AreEqual(0, targets[0].Quantity);
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}
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else
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{
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Assert.AreEqual(0, targets.Count);
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}
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}
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}
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}
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