Gerardo Salazar
6f5e394d52
* Get rid of `previousTime` and use `time` instead in AlgorithmManager
* Refactor variable names in Backtesting and Live IResultHandler impls
* Moves shared variables to BaseResultHandler
* Modifies BacktestNodePacketTests statistics to get tests passing
* Adds new StatisticsBuilder tests
* Modifies BacktestingResultHandler tests to make them passing
- Regarding these tests, the decision was made to get them
passing so that if any behavior changes, we will know immediately.
Next commit will contain regression test changes for easy rollback.
131 lines
8.1 KiB
C#
131 lines
8.1 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 System;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Common.Statistics
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{
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[TestFixture]
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public class StatisticsBuilderTests
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{
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[Test]
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public void MisalignedValues_ShouldThrow_DuringGeneration()
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{
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var testBenchmarkPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130),
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};
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var testEquityPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2018, 12, 31, 16, 0, 0), DateTimeKind.Utc), 100000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130000),
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};
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var misalignedTestPerformancePoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2018, 12, 31), DateTimeKind.Utc), 1000m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 0.25m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 0.02m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 0.0784313725490196m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 0 * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 0.090909090909090m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 0.083333333333333m * 100m)
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};
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Assert.Throws<Exception>(() =>
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{
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StatisticsBuilder.Generate(
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new List<Trade>(),
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new SortedDictionary<DateTime, decimal>(),
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testEquityPoints,
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misalignedTestPerformancePoints,
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testBenchmarkPoints,
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100000m,
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0m,
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1);
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}, "Misaligned values provided, but we still generate statistics");
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}
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[Test]
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public void Generate_HandlesMultipleEntriesPerDay_ResamplesProperly()
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{
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var testBenchmarkPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 0, 0, 0), DateTimeKind.Utc), 0), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 0, 0, 0), DateTimeKind.Utc), 0), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130),
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};
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var testEquityPoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 102000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 110000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 120000),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 130000),
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};
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var testPerformancePoints = new List<ChartPoint>
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{
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 9, 30, 0), DateTimeKind.Utc), 500000m * 100m), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 10, 30, 0), DateTimeKind.Utc), 1m * 100m), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 11, 30, 0), DateTimeKind.Utc), 2m * 100m), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 1, 16, 0, 0), DateTimeKind.Utc), 100000m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 4, 0, 0), DateTimeKind.Utc), 50m * 100m), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 2, 16, 0, 0), DateTimeKind.Utc), 0.02m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 3, 16, 0, 0), DateTimeKind.Utc), 0.0784313725490196m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 4, 16, 0, 0), DateTimeKind.Utc), 0),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 5, 16, 0, 0), DateTimeKind.Utc), 0.090909090909090m * 100m),
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 0, 0, 0), DateTimeKind.Utc), 0m * 100m), // Should be resampled away
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new ChartPoint(DateTime.SpecifyKind(new DateTime(2019, 1, 6, 16, 0, 0), DateTimeKind.Utc), 0.083333333333333m * 100m)
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};
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var performance = StatisticsBuilder.Generate(
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new List<Trade>(),
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new SortedDictionary<DateTime, decimal>(),
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testEquityPoints,
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testPerformancePoints,
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testBenchmarkPoints,
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100000m,
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0m,
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1);
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Assert.AreEqual(1, Math.Round(performance.TotalPerformance.PortfolioStatistics.Beta, 5));
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Assert.AreEqual(0, performance.TotalPerformance.PortfolioStatistics.Drawdown);
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}
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}
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}
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