wehub-resource-sync
454 lines
18 KiB
C#
454 lines
18 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.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using System;
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using System.Collections.Generic;
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using static QuantConnect.Tests.Indicators.TestHelper;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class AlphaIndicatorTests : CommonIndicatorTests<IBaseDataBar>
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{
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protected override string TestFileName => "alpha_indicator_datatest.csv";
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protected override string TestColumnName => "Alpha";
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private DateTime _reference = new DateTime(2020, 1, 1);
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protected override IndicatorBase<IBaseDataBar> CreateIndicator()
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{
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Symbol symbolA = "AMZN 2T";
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Symbol symbolB = "SPX 2T";
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if (SymbolList.Count > 1)
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{
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symbolA = SymbolList[0];
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symbolB = SymbolList[1];
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}
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#pragma warning disable CS0618
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var indicator = new Alpha("testAlphaIndicator", symbolA, symbolB, 5);
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#pragma warning restore CS0618
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return indicator;
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}
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protected override List<Symbol> GetSymbols()
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{
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return [Symbols.SPY, Symbols.AAPL];
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}
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[Test]
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public override void TimeMovesForward()
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{
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var indicator = new Alpha("testAlphaIndicator", Symbols.IBM, Symbols.SPY, 5);
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for (var i = 10; i > 0; i--)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2, indicator.Samples);
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var period = 5;
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var indicator = new Alpha("testAlphaIndicator", Symbols.IBM, Symbols.SPY, period);
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var warmUpPeriod = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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if (!warmUpPeriod.HasValue)
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{
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Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
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return;
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}
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// warmup period is 5 + 1
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for (var i = 1; i <= warmUpPeriod.Value; i++)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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Assert.IsFalse(indicator.IsReady);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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if (i < warmUpPeriod.Value)
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{
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Assert.IsFalse(indicator.IsReady);
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}
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else
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{
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Assert.IsTrue(indicator.IsReady);
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}
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}
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Assert.AreEqual(2 * warmUpPeriod.Value, indicator.Samples);
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}
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[Test]
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public override void WorksWithLowValues()
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{
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var indicator = new Alpha("testAlphaIndicator", Symbols.IBM, Symbols.SPY, 10);
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var warmUpPeriod = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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var random = new Random();
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var time = DateTime.UtcNow;
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for (int i = 0; i < 2 * warmUpPeriod; i++)
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{
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var value = (decimal)(random.NextDouble() * 0.000000000000000000000000000001);
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Assert.DoesNotThrow(() => indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = value, High = value, Volume = 100, Close = value, Time = _reference.AddDays(1 + i) }));
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Assert.DoesNotThrow(() => indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = value, High = value, Volume = 100, Close = value, Time = _reference.AddDays(1 + i) }));
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}
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}
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[Test]
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public override void AcceptsRenkoBarsAsInput()
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{
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var indicator = CreateIndicator();
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var firstRenkoConsolidator = new RenkoConsolidator(10m);
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var secondRenkoConsolidator = new RenkoConsolidator(10m);
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firstRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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secondRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "AMZN")
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{
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firstRenkoConsolidator.Update(tradebar);
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}
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else
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{
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secondRenkoConsolidator.Update(tradebar);
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}
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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firstRenkoConsolidator.Dispose();
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secondRenkoConsolidator.Dispose();
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}
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[Test]
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public override void AcceptsVolumeRenkoBarsAsInput()
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{
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var indicator = CreateIndicator();
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var firstVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000);
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var secondVolumeRenkoConsolidator = new VolumeRenkoConsolidator(1000000000);
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firstVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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secondVolumeRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "AMZN")
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{
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firstVolumeRenkoConsolidator.Update(tradebar);
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}
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else
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{
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secondVolumeRenkoConsolidator.Update(tradebar);
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}
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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firstVolumeRenkoConsolidator.Dispose();
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secondVolumeRenkoConsolidator.Dispose();
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}
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[Test]
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public void AcceptsQuoteBarsAsInput()
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{
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var indicator = new Alpha("testAlphaIndicator", Symbols.IBM, Symbols.SPY, 5);
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for (var i = 10; i > 0; i--)
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{
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indicator.Update(new QuoteBar { Symbol = Symbols.IBM, Ask = new Bar(1, 2, 1, 500), Bid = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
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indicator.Update(new QuoteBar { Symbol = Symbols.SPY, Ask = new Bar(1, 2, 1, 500), Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2, indicator.Samples);
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}
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[Test]
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public void EqualAlphaValue()
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{
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int period = 5;
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, period);
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for (int i = 0; i <= period; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < period)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(0.0032053150, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void RiskFreeRate()
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{
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decimal riskFreeRate = 0.0002m;
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int period = 5;
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, period, riskFreeRate);
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for (int i = 0; i <= period; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < period)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(0.0030959108, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void RiskFreeRate252()
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{
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int alphaPeriod = 1;
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int betaPeriod = 252;
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decimal riskFreeRate = 0.0025m;
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, alphaPeriod, betaPeriod, riskFreeRate);
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for (int i = 0; i <= betaPeriod; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < betaPeriod)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(-0.0000620852, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void NoRiskFreeRate252()
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{
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int alphaPeriod = 1;
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int betaPeriod = 252;
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, alphaPeriod, betaPeriod);
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for (int i = 0; i <= betaPeriod; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < betaPeriod)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(0.0008518139, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void ConstantZeroRiskFreeRateModel()
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{
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int alphaPeriod = 1;
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int betaPeriod = 252;
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IRiskFreeInterestRateModel riskFreeRateModel = new ConstantRiskFreeRateInterestRateModel(0.0m);
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, alphaPeriod, betaPeriod, riskFreeRateModel);
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for (int i = 0; i <= betaPeriod; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < betaPeriod)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(0.0008518139, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void ConstantRiskFreeRateModel()
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{
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int alphaPeriod = 1;
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int betaPeriod = 252;
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IRiskFreeInterestRateModel riskFreeRateModel = new ConstantRiskFreeRateInterestRateModel(0.0025m);
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, alphaPeriod, betaPeriod, riskFreeRateModel);
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for (int i = 0; i <= betaPeriod; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < betaPeriod)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(-0.0000620852, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public void NullRiskFreeRate()
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{
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int alphaPeriod = 1;
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int betaPeriod = 252;
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var indicator = new Alpha("testAlphaIndicator", Symbols.AAPL, Symbols.SPX, alphaPeriod, betaPeriod, riskFreeRate: null);
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for (int i = 0; i <= betaPeriod; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 100 + i, Time = startTime, EndTime = endTime });
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 200 + i * 3, Time = startTime, EndTime = endTime });
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if (i < betaPeriod)
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{
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Assert.AreEqual(0.0, (double)indicator.Current.Value, 0.0000000001);
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}
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else
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{
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Assert.AreEqual(0.0008518139, (double)indicator.Current.Value, 0.0000000001);
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}
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}
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}
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[Test]
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public override void TracksPreviousState()
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{
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var period = 5;
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var indicator = new Alpha(Symbols.AAPL, Symbols.SPX, period);
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var previousValue = indicator.Current.Value;
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// Update the indicator and verify the previous values
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for (var i = 1; i < 2 * period; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
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// Verify the previous value matches the indicator's previous value
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Assert.AreEqual(previousValue, indicator.Previous.Value);
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// Update previousValue to the current value for the next iteration
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previousValue = indicator.Current.Value;
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}
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}
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[Test]
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public override void IndicatorShouldHaveSymbolAfterUpdates()
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{
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var period = 5;
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var indicator = new Beta(Symbols.AAPL, Symbols.SPX, period);
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for (var i = 0; i < 2 * period; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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// Update with the first symbol (AAPL) — indicator.Current.Symbol should reflect this update
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
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Assert.AreEqual(Symbols.AAPL, indicator.Current.Symbol);
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// Update with the second symbol (SPX) — indicator.Current.Symbol should now be SPX
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indicator.Update(new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
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Assert.AreEqual(Symbols.SPX, indicator.Current.Symbol);
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}
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}
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}
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}
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