public void TestMethod1()
{
double errorRateMax = 0.5; // niveau d'erreur max accepté
Backtesting simulation = new Backtesting(Common.dp);
double errorRateHisto = simulation.StartSimulation();
Assert.IsTrue(errorRateHisto < errorRateMax);
Console.WriteLine("Ratio erreur VaR Historique = " + errorRateHisto);
}
public void Backtest1()
{
var db = Database.GetProductionDatabase(new MongoHostInfo("localhost", "guest", "", "versace"));
var run = db.QueryAll <Run>().Last();
var allMixtures = run.Generations.SelectMany(x => x.Mixtures).ToArray();
var bestFitness = allMixtures.Max(x => x.Evaluated.Fitness);
var bestMixture = allMixtures.First(x => x.Evaluated.Fitness == bestFitness);
Backtesting.Backtest(db, bestMixture, "DIA", DateTime.Parse("2/12/2003"), DateTime.Parse("8/12/2003"), 10000, 4, 5);
}
static void TestSimulation() // Méthode pour tester le taux d'erreur des VaR
{
DataProvider dp = new ExcelDataProvider(@"C:\Users\baptc\VaR solution\VaR\Portfolio1.xlsx");
Backtesting simulation = new Backtesting(dp);
double errorRateHisto = simulation.StartSimulation();
Console.WriteLine("Ratio erreur VaR Historique = " + errorRateHisto);
simulation = new BacktestingParametrique(dp);
double errorRateParametrique = simulation.StartSimulation();
Console.WriteLine("Ratio erreur VaR Paramétrique = " + errorRateParametrique);
simulation = new BacktestingMonteCarlo(dp);
double errorRateMC = simulation.StartSimulation();
Console.WriteLine("Ratio erreur VaR MC = " + errorRateMC);
}