Gerardo Salazar
5d663e8944
* Fixes issue with how cumulative percent change was calculated * Reworks PercentChange extension method * Fixes PortfolioLooper leverage calculation * Disable page 2 of reports * Fix issue where missing values produced misaligned shape in AnnualReturnsReportElement.cs
59 lines
2.1 KiB
C#
59 lines
2.1 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 Deedle;
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using NUnit.Framework;
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using QuantConnect.Report;
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using System;
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using System.Linq;
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namespace QuantConnect.Tests.Report
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{
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[TestFixture]
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public class CalculationTests
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{
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[TestCase(new double[] { 1, 2, 4, 8 }, new double[] { 1, 1, 1 })]
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[TestCase(new double[] { 0, 4, 5, 2.5 }, new double[] { double.PositiveInfinity, 0.25, -0.5 })]
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public void PercentChangeProducesCorrectValues(double[] inputs, double[] expected)
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{
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var series = CreateFakeSeries(inputs).PercentChange();
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Assert.AreEqual(expected, series.Values.ToList());
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}
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[TestCase(new double[] { 1, 2, 3, 4 }, new double[] { 1, 3, 6, 10 })]
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[TestCase(new double[] { 0, 0, 0, 0 }, new double[] { 0, 0, 0, 0 })]
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[TestCase(new double[] { 0.25, 0.5, 0.75, 1}, new double[] { 0.25, 0.75, 1.5, 2.5 })]
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public void CumulativeSumProducesCorrectValues(double[] inputs, double[] expected)
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{
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var series = CreateFakeSeries(inputs).CumulativeSum().Values.ToList();
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Assert.AreEqual(expected, series);
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}
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private Series<DateTime, double> CreateFakeSeries(double[] inputs)
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{
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var i = 0;
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return new Series<DateTime, double>(inputs.Select(_ =>
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{
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var time = new DateTime(1, 1, 1).AddDays(i);
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i++;
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return time;
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}).ToList(), inputs);
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}
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}
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}
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