public void TestAccAggregatorProfits()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(5, candle);
candle.Close = 10;
acc.Close(candle);
Assert.AreEqual(45, acc.Profits[0]);
candle.Close = 5;
acc.Sell(1, candle);
candle.Close = 3;
acc.Pass(candle);
candle.Close = 2;
acc.Sell(2, candle);
Assert.AreEqual(3, acc.Profits[1]);
candle.Close = 3;
acc.Buy(3, candle);
Assert.AreEqual(-3, acc.Profits[2]);
Assert.AreEqual(15, acc.MeanProfit);
Assert.AreEqual((float)2 / 3, acc.SuccessRatio);
Assert.AreEqual(-3, acc.MeanNegativeProfit);
Assert.AreEqual(24, acc.MeanPositiveProfit);
}
public void TestAccAggregatorSharpIndex()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
TimeStamp = new DateTime(2017, 1, 2, 15, 0, 0),
Close = 1
};
acc.Pass(candle);
Assert.AreEqual(0, acc.Balance);
Assert.AreEqual(0, acc.SharpIndex);
candle.TimeStamp = new DateTime(2017, 2, 1, 15, 0, 0);
acc.Buy(1, candle);
Assert.AreEqual(0, acc.SharpIndex);
candle.TimeStamp = new DateTime(2017, 2, 2, 15, 0, 0);
candle.Close = 10;
acc.Sell(2, candle);
candle.TimeStamp = new DateTime(2017, 3, 2, 15, 0, 0);
candle.Close = 12;
acc.Buy(1, candle);
candle.TimeStamp = new DateTime(2017, 4, 1, 14, 0, 0);
candle.Close = 15;
acc.Close(candle);
Assert.AreEqual(0.5, acc.SuccessRatio);
Assert.IsTrue(Math.Abs(3.5 / (float)Math.Sqrt((3.5 - 9) * (3.5 - 9) + (3.5 + 2) * (3.5 + 2)) - acc.SharpIndex) < 10e-3);
}
public void TestAccAggregatorBuySellClose()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(5, candle);
candle.Close = 10;
acc.Pass(candle);
candle.Close = 7;
acc.Sell(3, candle);
candle.Close = 5;
acc.Pass(candle);
candle.Close = 1;
acc.Sell(10, candle);
acc.Close(candle);
Assert.AreEqual(acc.Balance, 18);
Assert.AreEqual(acc.Data.Length, 6);
Assert.AreEqual(acc.Assets, 0);
}
public void TestAccAggregatorBuyAndHold()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Pass(candle);
Assert.AreEqual(acc.Balance, 0);
acc.Buy(1, candle);
Assert.AreEqual(acc.Balance, 0);
candle.Close = 2;
acc.Pass(candle);
Assert.AreEqual(acc.Balance, 1);
candle.Close = 0;
acc.Pass(candle);
Assert.AreEqual(acc.Balance, -1);
candle.Close = 1;
acc.Close(candle);
Assert.AreEqual(acc.Balance, 0);
Assert.AreEqual(acc.Data.Length, 5);
}
