wehub-resource-sync
111 lines
3.8 KiB
C#
111 lines
3.8 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 Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Util;
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using System;
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namespace QuantConnect.Tests.Optimizer.Objectives
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class ConstraintTests
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{
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[TestCase(101.0)]
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[TestCase(1000.0)]
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public void Meet(decimal value)
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{
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var constraint = new Constraint("Profit", ComparisonOperatorTypes.Greater, 100m);
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Assert.IsTrue(constraint.IsMet(BacktestResult.Create(value).ToJson()));
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}
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[TestCase(1.0)]
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[TestCase(99.9)]
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[TestCase(100d)]
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public void Fails(decimal value)
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{
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var constraint = new Constraint("Profit", ComparisonOperatorTypes.Greater, 100m);
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Assert.IsFalse(constraint.IsMet(BacktestResult.Create(value).ToJson()));
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}
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[Test]
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public void ThrowIfTargetNull()
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{
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Assert.Throws<ArgumentNullException>(() =>
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, null);
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});
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}
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[TestCase("")]
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[TestCase(null)]
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public void ThrowIfResultNullOrEmpty(string json)
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, 10);
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Assert.Throws<ArgumentNullException>(() =>
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{
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constraint.IsMet(json);
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});
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}
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[Test]
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public void IgnoreBadJson()
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{
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var constraint = new Constraint("Drawdown", ComparisonOperatorTypes.Less, 0.1m);
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Assert.IsFalse(constraint.IsMet("{\"Drawdown\":\"10.0%\"}"));
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}
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[TestCase("Drawdown")]
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[TestCase("Statistics.Drawdown")]
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[TestCase("['Statistics'].['Drawdown']")]
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public void ParseName(string targetName)
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{
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var target = new Constraint(targetName, ComparisonOperatorTypes.Equals, 100);
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Assert.AreEqual("['Statistics'].['Drawdown']", target.Target);
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}
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[Test]
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public void FromJson()
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{
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var json = "{\"operator\": \"equals\",\"target\": \"pin ocho.Gepetto\",\"targetValue\": 11}";
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var constraint = (Constraint)JsonConvert.DeserializeObject(json, typeof(Constraint));
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Assert.AreEqual("['pin ocho'].['Gepetto']", constraint.Target);
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Assert.AreEqual(ComparisonOperatorTypes.Equals, constraint.Operator);
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Assert.AreEqual(11, constraint.TargetValue.Value);
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}
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[Test]
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public void RoundTrip()
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{
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var origin = new Constraint("['Statistics'].['Drawdown']", ComparisonOperatorTypes.Equals, 100);
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var json = JsonConvert.SerializeObject(origin);
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var actual = JsonConvert.DeserializeObject<Constraint>(json);
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Assert.NotNull(actual);
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Assert.AreEqual(origin.Target, actual.Target);
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Assert.AreEqual(origin.Operator, actual.Operator);
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Assert.AreEqual(origin.TargetValue, actual.TargetValue);
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}
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}
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}
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