wehub-resource-sync
749 lines
26 KiB
C#
749 lines
26 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 System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Indicators;
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using System.Linq;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class IndicatorExtensionsTests
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{
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[Test, Parallelizable(ParallelScope.Self)]
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public void PipesDataUsingOfFromFirstToSecond()
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{
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var first = new SimpleMovingAverage(2);
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var second = new Delay(1);
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// this is a configuration step, but returns the reference to the second for method chaining
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second.Of(first);
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var data1 = new IndicatorDataPoint(DateTime.UtcNow, 1m);
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var data2 = new IndicatorDataPoint(DateTime.UtcNow, 2m);
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var data3 = new IndicatorDataPoint(DateTime.UtcNow, 3m);
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var data4 = new IndicatorDataPoint(DateTime.UtcNow, 4m);
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// sma has one item
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first.Update(data1);
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Assert.IsFalse(first.IsReady);
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Assert.AreEqual(0m, second.Current.Value);
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// sma is ready, delay will repeat this value
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first.Update(data2);
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Assert.IsTrue(first.IsReady);
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Assert.IsFalse(second.IsReady);
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Assert.AreEqual(1.5m, second.Current.Value);
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// delay is ready, and repeats its first input
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first.Update(data3);
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Assert.IsTrue(second.IsReady);
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Assert.AreEqual(1.5m, second.Current.Value);
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// now getting the delayed data
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first.Update(data4);
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Assert.AreEqual(2.5m, second.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void PipesDataFirstWeightedBySecond()
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{
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const int period = 4;
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var value = new Identity("Value");
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var weight = new Identity("Weight");
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var third = value.WeightedBy(weight, period);
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var data = Enumerable.Range(1, 10).ToList();
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var window = Enumerable.Reverse(data).Take(period);
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var current = window.Sum(x => 2 * x * x) / (decimal)window.Sum(x => x);
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foreach (var item in data)
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{
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value.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(2 * item)));
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weight.Update(new IndicatorDataPoint(DateTime.UtcNow, Convert.ToDecimal(item)));
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}
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Assert.AreEqual(current, third.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void NewDataPushesToDerivedIndicators()
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{
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var identity = new Identity("identity");
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var sma = new SimpleMovingAverage(3);
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identity.Updated += (sender, consolidated) =>
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{
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sma.Update(consolidated);
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};
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identity.Update(DateTime.UtcNow, 1m);
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identity.Update(DateTime.UtcNow, 2m);
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Assert.IsFalse(sma.IsReady);
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identity.Update(DateTime.UtcNow, 3m);
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Assert.IsTrue(sma.IsReady);
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Assert.AreEqual(2m, sma.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MultiChainSMA()
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{
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var identity = new Identity("identity");
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var delay = new Delay(2);
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// create the SMA of the delay of the identity
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var sma = delay.Of(identity).SMA(2);
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identity.Update(DateTime.UtcNow, 1m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(sma.IsReady);
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identity.Update(DateTime.UtcNow, 2m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(sma.IsReady);
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identity.Update(DateTime.UtcNow, 3m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsFalse(sma.IsReady);
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identity.Update(DateTime.UtcNow, 4m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsTrue(sma.IsReady);
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Assert.AreEqual(1.5m, sma.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MultiChainEMA()
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{
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var identity = new Identity("identity");
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var delay = new Delay(2);
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// create the EMA of chained methods
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var ema = delay.Of(identity).EMA(2, 1);
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// Assert.IsTrue(ema. == 1);
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identity.Update(DateTime.UtcNow, 1m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(ema.IsReady);
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identity.Update(DateTime.UtcNow, 2m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(ema.IsReady);
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identity.Update(DateTime.UtcNow, 3m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsFalse(ema.IsReady);
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identity.Update(DateTime.UtcNow, 4m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsTrue(ema.IsReady);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MultiChainMAX()
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{
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var identity = new Identity("identity");
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var delay = new Delay(2);
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// create the MAX of the delay of the identity
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var max = delay.Of(identity).MAX(2);
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identity.Update(DateTime.UtcNow, 1m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(max.IsReady);
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identity.Update(DateTime.UtcNow, 2m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(max.IsReady);
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identity.Update(DateTime.UtcNow, 3m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsFalse(max.IsReady);
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identity.Update(DateTime.UtcNow, 4m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsTrue(max.IsReady);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MultiChainMIN()
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{
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var identity = new Identity("identity");
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var delay = new Delay(2);
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// create the MIN of the delay of the identity
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var min = delay.Of(identity).MIN(2);
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identity.Update(DateTime.UtcNow, 1m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(min.IsReady);
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identity.Update(DateTime.UtcNow, 2m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsFalse(delay.IsReady);
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Assert.IsFalse(min.IsReady);
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identity.Update(DateTime.UtcNow, 3m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsFalse(min.IsReady);
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identity.Update(DateTime.UtcNow, 4m);
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Assert.IsTrue(identity.IsReady);
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Assert.IsTrue(delay.IsReady);
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Assert.IsTrue(min.IsReady);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void PlusAddsLeftAndRightAfterBothUpdated()
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{
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var left = new Identity("left");
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var right = new Identity("right");
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var composite = left.Plus(right);
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left.Update(DateTime.Today, 1m);
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right.Update(DateTime.Today, 1m);
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Assert.AreEqual(2m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(2m, composite.Current.Value);
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left.Update(DateTime.Today, 3m);
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Assert.AreEqual(2m, composite.Current.Value);
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right.Update(DateTime.Today, 4m);
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Assert.AreEqual(7m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void PlusAddsLeftAndConstant()
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{
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var left = new Identity("left");
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var composite = left.Plus(5);
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left.Update(DateTime.Today, 1m);
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Assert.AreEqual(6m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(7m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MinusSubtractsLeftAndRightAfterBothUpdated()
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{
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var left = new Identity("left");
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var right = new Identity("right");
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var composite = left.Minus(right);
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left.Update(DateTime.Today, 1m);
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right.Update(DateTime.Today, 1m);
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Assert.AreEqual(0m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(0m, composite.Current.Value);
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left.Update(DateTime.Today, 3m);
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Assert.AreEqual(0m, composite.Current.Value);
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right.Update(DateTime.Today, 4m);
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Assert.AreEqual(-1m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void MinusSubtractsLeftAndConstant()
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{
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var left = new Identity("left");
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var composite = left.Minus(1);
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left.Update(DateTime.Today, 1m);
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Assert.AreEqual(0m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(1m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void OverDividesLeftAndRightAfterBothUpdated()
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{
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var left = new Identity("left");
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var right = new Identity("right");
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var composite = left.Over(right);
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left.Update(DateTime.Today, 1m);
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right.Update(DateTime.Today, 1m);
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Assert.AreEqual(1m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(1m, composite.Current.Value);
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left.Update(DateTime.Today, 3m);
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Assert.AreEqual(1m, composite.Current.Value);
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right.Update(DateTime.Today, 4m);
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Assert.AreEqual(3m / 4m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void OverDividesLeftAndConstant()
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{
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var left = new Identity("left");
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var composite = left.Over(2);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(1m, composite.Current.Value);
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left.Update(DateTime.Today, 4m);
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Assert.AreEqual(2m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void OverHandlesDivideByZero()
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{
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var left = new Identity("left");
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var right = new Identity("right");
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var composite = left.Over(right);
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var updatedEventFired = false;
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composite.Updated += delegate { updatedEventFired = true; };
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left.Update(DateTime.Today, 1m);
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Assert.IsFalse(updatedEventFired);
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right.Update(DateTime.Today, 0m);
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Assert.IsFalse(updatedEventFired);
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// submitting another update to right won't cause an update without corresponding update to left
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right.Update(DateTime.Today, 1m);
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Assert.IsFalse(updatedEventFired);
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left.Update(DateTime.Today, 1m);
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Assert.IsTrue(updatedEventFired);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void TimesMultipliesLeftAndRightAfterBothUpdated()
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{
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var left = new Identity("left");
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var right = new Identity("right");
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var composite = left.Times(right);
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left.Update(DateTime.Today, 1m);
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right.Update(DateTime.Today, 1m);
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Assert.AreEqual(1m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(1m, composite.Current.Value);
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left.Update(DateTime.Today, 3m);
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Assert.AreEqual(1m, composite.Current.Value);
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right.Update(DateTime.Today, 4m);
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Assert.AreEqual(12m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void TimesMultipliesLeftAndConstant()
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{
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var left = new Identity("left");
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var composite = left.Times(10);
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left.Update(DateTime.Today, 1m);
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Assert.AreEqual(10m, composite.Current.Value);
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left.Update(DateTime.Today, 2m);
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Assert.AreEqual(20m, composite.Current.Value);
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}
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[Test, Parallelizable(ParallelScope.Self)]
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public void WorksForIndicatorsOfDifferentTypes()
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{
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var indicatorA1 = new TestIndicatorA("1");
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var indicatorA2 = new TestIndicatorA("2");
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indicatorA1.Over(indicatorA2);
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indicatorA1.Minus(indicatorA2);
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indicatorA1.Times(indicatorA2);
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indicatorA1.Plus(indicatorA2);
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indicatorA1.Of(indicatorA2);
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var indicatorB1 = new TestIndicatorB("1");
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var indicatorB2 = new TestIndicatorB("2");
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indicatorB1.Over(indicatorB2);
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indicatorB1.Minus(indicatorB2);
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indicatorB1.Times(indicatorB2);
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indicatorB1.Plus(indicatorB2);
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indicatorB1.Of(indicatorB2);
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}
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protected static TestCaseData[] IndicatorOfDifferentBaseCases()
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{
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// Helper for getting all permutations of the indicators listed below
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static IEnumerable<IEnumerable<T>>
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GetPermutations<T>(IEnumerable<T> list, int length)
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{
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if (length == 1) return list.Select(t => new T[] { t });
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return GetPermutations(list, length - 1)
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.SelectMany(t => list.Where(o => !t.Contains(o)),
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(t1, t2) => t1.Concat(new T[] { t2 }));
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}
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// Define our indicators to test on
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var testIndicators = new IIndicator[]
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{
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new TestIndicator<BaseData>("BD"),
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new TestIndicator<QuoteBar>("QB"),
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new TestIndicator<TradeBar>("TB"),
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new TestIndicator<IndicatorDataPoint>("IDP")
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};
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// Methods defined in CompositeTestRunner
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var methods = new string[]
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{
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"minus", "plus", "over", "times"
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};
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// Create every combination of indicators
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var combinations = GetPermutations(testIndicators, 2);
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// Create a case for each method with each combination of indicators
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var cases = new List<TestCaseData>();
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foreach (var combo in combinations)
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{
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foreach (var method in methods)
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{
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var newCase = new TestCaseData(combo, method);
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cases.Add(newCase);
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}
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}
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return cases.ToArray();
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}
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[TestCaseSource(nameof(IndicatorOfDifferentBaseCases))]
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public void DifferentBaseIndicators(IEnumerable<IIndicator> indicators, string method)
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{
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CompositeTestRunner(indicators.ElementAt(0), indicators.ElementAt(1), method);
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}
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[TestCaseSource(nameof(IndicatorOfDifferentBaseCases))]
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public void DifferentBaseIndicatorsPy(IEnumerable<IIndicator> indicators, string method)
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{
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using (Py.GIL())
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{
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CompositeTestRunner(indicators.ElementAt(0).ToPython(), indicators.ElementAt(1).ToPython(), method);
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}
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}
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public static void CompositeTestRunner(dynamic left, dynamic right, string method)
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{
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// Reset before every test; the permutation setup in test cases uses the same instance for each permutation
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left.Reset();
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right.Reset();
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double expected;
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CompositeIndicator compositeIndicator;
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switch (method)
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{
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case "minus":
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expected = -5; // 5 - 10
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compositeIndicator = IndicatorExtensions.Minus(left, right);
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break;
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case "plus":
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expected = 15; // 5 + 10
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compositeIndicator = IndicatorExtensions.Plus(left, right);
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break;
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case "over":
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expected = .5; // 5 / 10
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compositeIndicator = IndicatorExtensions.Over(left, right);
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break;
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case "times":
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expected = 50; // 5 * 10
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compositeIndicator = IndicatorExtensions.Times(left, right);
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break;
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default:
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Assert.Fail($"Method '{method}' not handled by this test, please implement");
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throw new ArgumentException($"Cannot proceed with test using method {method}");
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}
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// Check our values are all zero
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Assert.AreEqual(0, (int)right.Current.Value);
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Assert.AreEqual(0, (int)left.Current.Value);
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Assert.AreEqual(0, compositeIndicator.Current.Value);
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// Use our test indicator method to update left and right
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left.UpdateValue(5);
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right.UpdateValue(10);
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// Check final expected values, this ensures that composites are updating correctly
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Assert.AreEqual(5, (int)left.Current.Value);
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Assert.AreEqual(10, (int)right.Current.Value);
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Assert.AreEqual(expected, compositeIndicator.Current.Value);
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}
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[Test]
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public void MinusSubtractsLeftAndConstant_Py()
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{
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using (Py.GIL())
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{
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var left = new Identity("left");
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var composite = (IIndicator) IndicatorExtensions.Minus(left.ToPython(), 10);
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left.Update(DateTime.Today, 1);
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Assert.AreEqual(-9, composite.Current.Value);
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left.Update(DateTime.Today, 2);
|
|
Assert.AreEqual(-8, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void PlusAddsLeftAndConstant_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var composite = (IIndicator)IndicatorExtensions.Plus(left.ToPython(), 10);
|
|
|
|
left.Update(DateTime.Today, 1);
|
|
Assert.AreEqual(11, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 2);
|
|
Assert.AreEqual(12, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void OverDivdesLeftAndConstant_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var composite = (IIndicator)IndicatorExtensions.Over(left.ToPython(), 5);
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(2, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(4, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void TimesMultipliesLeftAndConstant_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var composite = (IIndicator)IndicatorExtensions.Times(left.ToPython(), 5);
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(50, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(100, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void TimesMultipliesLeftAndRight_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var right = new Identity("right");
|
|
var composite = (IIndicator)IndicatorExtensions.Times(left.ToPython(), right.ToPython());
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
right.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(100, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(100, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void OverDividesLeftAndRight_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var right = new Identity("right");
|
|
var composite = (IIndicator)IndicatorExtensions.Over(left.ToPython(), right.ToPython());
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
right.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(1, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(1, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void PlusAddsLeftAndRight_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var right = new Identity("right");
|
|
var composite = (IIndicator)IndicatorExtensions.Plus(left.ToPython(), right.ToPython());
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
right.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(20, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(20, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void MinusSubstractsLeftAndRight_Py()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
var left = new Identity("left");
|
|
var right = new Identity("right");
|
|
var composite = (IIndicator)IndicatorExtensions.Minus(left.ToPython(), right.ToPython());
|
|
|
|
left.Update(DateTime.Today, 10);
|
|
right.Update(DateTime.Today, 10);
|
|
Assert.AreEqual(0, composite.Current.Value);
|
|
|
|
left.Update(DateTime.Today, 20);
|
|
Assert.AreEqual(0, composite.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void RunPythonRegressionAlgorithmWithIndicatorExtensions()
|
|
{
|
|
var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("IndicatorExtensionsSMAWithCustomIndicatorsRegressionAlgorithm",
|
|
new Dictionary<string, string> {
|
|
{PerformanceMetrics.TotalOrders, "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "0.717"},
|
|
{"Tracking Error", "0.593"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"},
|
|
{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
|
|
},
|
|
Language.Python,
|
|
AlgorithmStatus.Completed);
|
|
|
|
AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
|
|
parameter.Statistics,
|
|
parameter.Language,
|
|
parameter.ExpectedFinalStatus,
|
|
initialCash: 100000);
|
|
}
|
|
|
|
private class TestIndicatorA : IndicatorBase<IBaseData>
|
|
{
|
|
public TestIndicatorA(string name) : base(name)
|
|
{
|
|
}
|
|
public override bool IsReady { get; }
|
|
protected override decimal ComputeNextValue(IBaseData input)
|
|
{
|
|
throw new NotImplementedException();
|
|
}
|
|
}
|
|
|
|
private class TestIndicatorB : IndicatorBase<IndicatorDataPoint>
|
|
{
|
|
public TestIndicatorB(string name) : base(name)
|
|
{
|
|
}
|
|
public override bool IsReady
|
|
{
|
|
get
|
|
{
|
|
throw new NotImplementedException();
|
|
}
|
|
}
|
|
protected override decimal ComputeNextValue(IndicatorDataPoint input)
|
|
{
|
|
throw new NotImplementedException();
|
|
}
|
|
}
|
|
|
|
private class TestIndicator<T> : IndicatorBase<T>
|
|
where T : IBaseData
|
|
{
|
|
public TestIndicator(string name)
|
|
: base(name)
|
|
{
|
|
|
|
}
|
|
|
|
public override bool IsReady
|
|
{
|
|
get
|
|
{
|
|
return true;
|
|
}
|
|
}
|
|
|
|
public void UpdateValue(int value)
|
|
{
|
|
Current = new IndicatorDataPoint(DateTime.MinValue, value);
|
|
OnUpdated(Current);
|
|
}
|
|
|
|
protected override decimal ComputeNextValue(T input)
|
|
{
|
|
return input.Value;
|
|
}
|
|
}
|
|
}
|
|
}
|