Michael Handschuh
90d54da87c
Alpha models can choose to implement the Name property, if not, the system will use the model's type name as the Insight.SourceModel. Existing tests were updated to also assert expected model names
56 lines
1.9 KiB
C#
56 lines
1.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using NUnit.Framework;
|
|
using Python.Runtime;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
using System;
|
|
using System.Collections.Generic;
|
|
|
|
namespace QuantConnect.Tests.Algorithm.Framework.Alphas
|
|
{
|
|
[TestFixture]
|
|
public class EmaCrossAlphaModelTests : CommonAlphaModelTests
|
|
{
|
|
protected override IAlphaModel CreateCSharpAlphaModel() => new EmaCrossAlphaModel();
|
|
|
|
protected override IAlphaModel CreatePythonAlphaModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic model = Py.Import("EmaCrossAlphaModel").GetAttr("EmaCrossAlphaModel");
|
|
var instance = model();
|
|
return new AlphaModelPythonWrapper(instance);
|
|
}
|
|
}
|
|
|
|
protected override IEnumerable<Insight> ExpectedInsights()
|
|
{
|
|
var period = TimeSpan.FromDays(12);
|
|
|
|
return new[]
|
|
{
|
|
Insight.Price(Symbols.SPY, period, InsightDirection.Down),
|
|
Insight.Price(Symbols.SPY, period, InsightDirection.Up)
|
|
};
|
|
}
|
|
|
|
protected override string GetExpectedModelName(IAlphaModel model)
|
|
{
|
|
return $"{nameof(EmaCrossAlphaModel)}(12,26,Daily)";
|
|
}
|
|
}
|
|
}
|