wehub-resource-sync
71 lines
2.5 KiB
C#
71 lines
2.5 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 System.Linq;
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using NUnit.Framework;
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using QuantConnect.Packets;
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using QuantConnect.Report;
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namespace QuantConnect.Tests.Report
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{
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[TestFixture]
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public class DrawdownCollectionTests
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{
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[Test]
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public void MaxDrawdown()
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{
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var series = new Deedle.Series<DateTime, double>(new []
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{
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 1), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 2), 90000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 3), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 4), 100000),
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new KeyValuePair<DateTime, double>(new DateTime(2020, 1, 5), 80000)
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});
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var collection = DrawdownCollection.GetDrawdownPeriods(series, 1).ToList();
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Assert.AreEqual(1, collection.Count);
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Assert.AreEqual(0.2, collection.First().Drawdown, 0.0001);
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}
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[TestCase(false)]
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[TestCase(true)]
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public void NoDrawdown(bool hasEquityPoint)
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{
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var strategyEquityChart = new Chart("Strategy Equity");
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var equitySeries = new Series("Equity");
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strategyEquityChart.AddSeries(equitySeries);
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if (hasEquityPoint)
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{
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equitySeries.AddPoint(new DateTime(2020, 1, 1), 100000);
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}
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var backtest = new BacktestResult
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{
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Charts = new Dictionary<string, Chart> {[strategyEquityChart.Name] = strategyEquityChart}
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};
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var normalizedResults = DrawdownCollection.NormalizeResults(backtest, null);
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Assert.AreEqual(0, normalizedResults.KeyCount);
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Assert.AreEqual(0, normalizedResults.ValueCount);
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}
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}
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}
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