wehub-resource-sync
124 lines
4.6 KiB
C#
124 lines
4.6 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 NUnit.Framework;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Optimizer;
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using QuantConnect.Optimizer.Objectives;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Optimizer.Strategies;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Math = System.Math;
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using OptimizationParameter = QuantConnect.Optimizer.Parameters.OptimizationParameter;
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namespace QuantConnect.Tests.Optimizer.Strategies
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class StepBaseOptimizationStrategyTests
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{
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private GridSearchOptimizationStrategy _strategy;
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[SetUp]
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public void Init()
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{
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this._strategy = new GridSearchOptimizationStrategy();
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}
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[Test]
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public void ThrowIfNoStepProvidedWhenNoSegmentValue()
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{
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var optimizationParameter = new OptimizationStepParameter("ema-fast", 1, 100);
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Assert.Throws<ArgumentException>(() =>
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{
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_strategy.Initialize(
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new Target("Profit", new Maximization(), null),
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new List<Constraint>(),
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new HashSet<OptimizationParameter> { optimizationParameter },
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new StepBaseOptimizationStrategySettings());
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});
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}
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[TestCase(4)]
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[TestCase(5)]
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[TestCase(10)]
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public void CalculateStep(int numberOfSegments)
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{
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var set = new HashSet<OptimizationParameter>
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{
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new OptimizationStepParameter("ema-fast", 1, 100),
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new OptimizationStepParameter("ema-slow", -10, -10),
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new OptimizationStepParameter("ema-custom", -100, -1)
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};
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_strategy.Initialize(
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new Target("Profit", new Maximization(), null),
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new List<Constraint>(),
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set,
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new StepBaseOptimizationStrategySettings { DefaultSegmentAmount = numberOfSegments });
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foreach (var parameter in set)
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{
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var stepParameter = parameter as OptimizationStepParameter;
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Assert.NotNull(stepParameter);
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var actual = Math.Abs(stepParameter.MaxValue - stepParameter.MinValue) /
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numberOfSegments;
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Assert.AreEqual(actual, stepParameter.Step);
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Assert.AreEqual(actual / 10, stepParameter.MinStep);
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}
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}
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private static TestCaseData[] StepBaseSettings => new[]
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{
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new TestCaseData(new StepBaseOptimizationStrategySettings {DefaultSegmentAmount = 0}),
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new TestCaseData(new StepBaseOptimizationStrategySettings {DefaultSegmentAmount = -1}),
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new TestCaseData(null),
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new TestCaseData(new StepBaseOptimizationStrategySettings()),
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new TestCaseData(new OptimizationStrategySettings())
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};
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[Test, TestCaseSource(nameof(StepBaseSettings))]
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public void ThrowExceptionIfCantCalculateStep(OptimizationStrategySettings settings)
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{
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var set = new HashSet<OptimizationParameter>
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{
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new OptimizationStepParameter("ema-fast", 1, 100),
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new OptimizationStepParameter("ema-slow", -10, -10),
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new OptimizationStepParameter("ema-custom", -100, -1)
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};
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foreach (var parameter in set)
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{
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var stepParameter = parameter as OptimizationStepParameter;
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Assert.NotNull(stepParameter);
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Assert.Null(stepParameter.Step);
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Assert.Null(stepParameter.MinStep);
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}
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Assert.Throws<ArgumentException>(() =>
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{
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_strategy.Initialize(
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new Target("Profit", new Maximization(), null),
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new List<Constraint>(),
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set,
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settings);
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});
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}
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}
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}
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