wehub-resource-sync
130 lines
4.1 KiB
C#
130 lines
4.1 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.Optimizer.Objectives;
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using System;
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using Newtonsoft.Json;
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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 ExtremumTests
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{
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private static TestCaseData[] Extremums => new TestCaseData[]
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{
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new TestCaseData(new Maximization()),
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new TestCaseData(new Minimization())
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};
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[TestCase("\"max\"")]
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[TestCase("\"min\"")]
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[TestCase("\"Max\"")]
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[TestCase("\"miN\"")]
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public void Deserialize(string extremum)
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{
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var actual = JsonConvert.DeserializeObject<Extremum>(extremum);
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Extremum expected = extremum.Equals("\"max\"", StringComparison.OrdinalIgnoreCase)
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? new Maximization() as Extremum
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: new Minimization();
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Assert.NotNull(actual);
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Assert.AreEqual(expected.GetType(), actual.GetType());
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}
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[TestCase("\"\"")]
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[TestCase("\"n/a\"")]
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public void ThrowsIfNotRecognized(string extremum)
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{
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Assert.Throws<InvalidOperationException>(() =>
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{
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JsonConvert.DeserializeObject<Extremum>(extremum);
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});
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}
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[Test, TestCaseSource(nameof(Extremums))]
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public void Serialize(Extremum extremum)
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{
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var json = JsonConvert.SerializeObject(extremum);
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var actual = JsonConvert.DeserializeObject<Extremum>(json);
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Assert.NotNull(actual);
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Assert.AreEqual(extremum.GetType(), actual.GetType());
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}
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[TestCase(0, 10)]
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[TestCase(10, 10)]
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[TestCase(10, 0)]
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public void Linear(decimal current, decimal candidate)
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{
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Func<decimal, decimal, bool> comparer = (a, b) => a <= b;
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var strategy = new Extremum(comparer);
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Assert.AreEqual(comparer(current, candidate), strategy.Better(current, candidate));
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}
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[TestCase(101, 10)]
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[TestCase(100, 10)]
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[TestCase(99, 10)]
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public void NonLinear(decimal current, decimal candidate)
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{
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Func<decimal, decimal, bool> comparer = (a, b) => a >= b * b;
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var strategy = new Extremum(comparer);
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Assert.AreEqual(comparer(current, candidate), strategy.Better(current, candidate));
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}
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[TestFixture]
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public class MaximizationTests
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{
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Maximization _strategy = new Maximization();
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[Test]
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public void Greater()
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{
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Assert.IsTrue(_strategy.Better(0, 10));
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}
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[TestCase(10, 10)]
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[TestCase(10, 0)]
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public void LessThanOrEqual(decimal current, decimal candidate)
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{
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Assert.IsFalse(_strategy.Better(current, candidate));
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}
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}
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[TestFixture]
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public class MinimizationTests
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{
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Minimization _strategy = new Minimization();
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[Test]
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public void Less()
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{
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Assert.IsTrue(_strategy.Better(10, 0));
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}
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[TestCase(10, 10)]
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[TestCase(0, 10)]
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public void GreatThanOrEqual(decimal current, decimal candidate)
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{
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Assert.IsFalse(_strategy.Better(current, candidate));
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}
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}
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}
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}
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