wehub-resource-sync
162 lines
10 KiB
C#
162 lines
10 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 Newtonsoft.Json;
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using NUnit.Framework;
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using System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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using QuantConnect.Optimizer;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Optimizer.Strategies;
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using QuantConnect.Packets;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Optimizer
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class OptimizationNodePacketTest
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{
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private static JsonSerializerSettings _jsonSettings = new JsonSerializerSettings() { Culture = CultureInfo.InvariantCulture };
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[TestCase("QuantConnect.Optimizer.EulerSearchOptimizationStrategy", typeof(StepBaseOptimizationStrategySettings))]
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[TestCase("QuantConnect.Optimizer.GridSearchOptimizationStrategy", typeof(OptimizationStrategySettings))]
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public void RoundTrip(string strategyName, Type settingType)
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{
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var optimizationNodePacket = new OptimizationNodePacket()
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{
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CompileId = Guid.NewGuid().ToString(),
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OptimizationId = Guid.NewGuid().ToString(),
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OptimizationStrategy = strategyName,
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Criterion = new Target("Profit", new Maximization(), 100.5m),
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Constraints = new List<Constraint>
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{
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new Constraint("Drawdown", ComparisonOperatorTypes.LessOrEqual, 0.1m),
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new Constraint("Profit", ComparisonOperatorTypes.Greater, 100)
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},
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OptimizationParameters = new HashSet<OptimizationParameter>()
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{
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new OptimizationStepParameter("ema-slow", 1, 100, 1m),
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new OptimizationStepParameter("ema-fast", -10, 0, 0.5m),
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new StaticOptimizationParameter("pinocho", "11")
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},
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MaximumConcurrentBacktests = 10,
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OptimizationStrategySettings = (OptimizationStrategySettings)Activator.CreateInstance(settingType)
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};
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var serialize = JsonConvert.SerializeObject(optimizationNodePacket, _jsonSettings);
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var result = JsonConvert.DeserializeObject<OptimizationNodePacket>(serialize, _jsonSettings);
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// common
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Assert.AreEqual(PacketType.OptimizationNode, result.Type);
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// assert strategy
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Assert.AreEqual(optimizationNodePacket.OptimizationStrategy, result.OptimizationStrategy);
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Assert.AreEqual(optimizationNodePacket.OptimizationId, result.OptimizationId);
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Assert.AreEqual(optimizationNodePacket.CompileId, result.CompileId);
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// assert optimization parameters
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foreach (var expected in optimizationNodePacket.OptimizationParameters.OfType<OptimizationStepParameter>())
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{
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var actual = result.OptimizationParameters.FirstOrDefault(s => s.Name == expected.Name) as OptimizationStepParameter;
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Assert.NotNull(actual);
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Assert.AreEqual(expected.MinValue, actual.MinValue);
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Assert.AreEqual(expected.MaxValue, actual.MaxValue);
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Assert.AreEqual(expected.Step, actual.Step);
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}
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// assert optimization parameters
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var staticOptimizationParameters = optimizationNodePacket.OptimizationParameters.OfType<StaticOptimizationParameter>().ToList();
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Assert.AreEqual(1, staticOptimizationParameters.Count);
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foreach (var parameter in staticOptimizationParameters)
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{
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Assert.AreEqual("11", parameter.Value);
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Assert.AreEqual("pinocho", parameter.Name);
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}
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// assert target
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Assert.AreEqual(optimizationNodePacket.Criterion.Target, result.Criterion.Target);
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Assert.AreEqual(optimizationNodePacket.Criterion.Extremum.GetType(), result.Criterion.Extremum.GetType());
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Assert.AreEqual(optimizationNodePacket.Criterion.TargetValue, result.Criterion.TargetValue);
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// assert constraints
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foreach (var expected in optimizationNodePacket.Constraints)
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{
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var actual = result.Constraints.FirstOrDefault(s => s.Target == expected.Target);
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Assert.NotNull(actual);
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Assert.AreEqual(expected.Operator, actual.Operator);
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Assert.AreEqual(expected.TargetValue, actual.TargetValue);
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}
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// others
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Assert.AreEqual(optimizationNodePacket.MaximumConcurrentBacktests, result.MaximumConcurrentBacktests);
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Assert.AreEqual(settingType, result.OptimizationStrategySettings.GetType());
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}
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[TestCase("StepBaseOptimizationStrategySettings", "{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"targetValue\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"targetValue\": 11}]," +
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$"\"optimizationStrategySettings\":{{\"$type\":\"QuantConnect.Optimizer.Strategies.StepBaseOptimizationStrategySettings, QuantConnect.Optimizer\",\"default-segment-amount\":0,\"max-run-time\":\"10675199.02:48:05.4775807\"}}}}")]
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[TestCase("OptimizationStrategySettings", "{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"targetValue\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"targetValue\": 11}]," +
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$"\"optimizationStrategySettings\":{{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\",\"default-segment-amount\":0,\"max-run-time\":\"10675199.02:48:05.4775807\"}}}}")]
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[TestCase("StepBaseOptimizationStrategySettings", "{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"target-value\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"target-value\": 11}]," +
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$"\"optimizationStrategySettings\":{{\"$type\":\"QuantConnect.Optimizer.Strategies.StepBaseOptimizationStrategySettings, QuantConnect.Optimizer\",\"default-segment-amount\":0,\"max-run-time\":\"10675199.02:48:05.4775807\"}}}}")]
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[TestCase("OptimizationStrategySettings", "{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"target-value\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"target-value\": 11}]," +
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$"\"optimizationStrategySettings\":{{\"$type\":\"QuantConnect.Optimizer.Strategies.OptimizationStrategySettings, QuantConnect.Optimizer\",\"default-segment-amount\":0,\"max-run-time\":\"10675199.02:48:05.4775807\"}}}}")]
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public void FromJson(string settingTypeName ,string json)
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{
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var packet = (OptimizationNodePacket)JsonConvert.DeserializeObject(json, typeof(OptimizationNodePacket));
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Assert.AreEqual("['Statistics'].['Sharpe Ratio']", packet.Criterion.Target);
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Assert.AreEqual(typeof(Minimization), packet.Criterion.Extremum.GetType());
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Assert.AreEqual(2, packet.OptimizationParameters.Count);
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Assert.AreEqual(1, packet.Constraints.Count);
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Assert.AreEqual("['Statistics'].['Sharpe Ratio']", packet.Constraints.Single().Target);
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Assert.AreEqual(settingTypeName, packet.OptimizationStrategySettings.GetType().Name);
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}
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[TestCase("{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"targetValue\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"targetValue\": 11}]}")]
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[TestCase("{\"OptimizationParameters\": [{\"Name\":\"sleep-ms\",\"min\":0,\"max\":0,\"Step\":1}," +
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"{\"Name\":\"total-trades\",\"min\":0,\"max\":2,\"Step\":1}]," +
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"\"criterion\": {\"extremum\" : \"min\",\"target\": \"Statistics.Sharpe Ratio\",\"target-value\": 10}," +
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"\"constraints\": [{\"target\": \"Statistics.Sharpe Ratio\",\"operator\": \"equals\",\"target-value\": 11}]}")]
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public void FromJsonNoSettings(string json)
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{
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var packet = (OptimizationNodePacket)JsonConvert.DeserializeObject(json, typeof(OptimizationNodePacket));
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Assert.AreEqual("['Statistics'].['Sharpe Ratio']", packet.Criterion.Target);
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Assert.AreEqual(typeof(Minimization), packet.Criterion.Extremum.GetType());
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Assert.AreEqual(2, packet.OptimizationParameters.Count);
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Assert.AreEqual(1, packet.Constraints.Count);
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Assert.AreEqual("['Statistics'].['Sharpe Ratio']", packet.Constraints.Single().Target);
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Assert.IsNull(packet.OptimizationStrategySettings);
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}
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}
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}
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