public void CalculateWithNullSeriesSizeShouldReturn0()
{
var series = GenerateTimeSeries.From(new double[] {});
var mdd = new MaximumDrawdownCriterion();
Assert.AreEqual(0d, mdd.Calculate(series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void SetUp()
{
// @TODO add volumes
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(44.98, 45.05, 45.17, 44.96));
ticks.Add(GenerateTick.From(45.05, 45.10, 45.15, 44.99));
ticks.Add(GenerateTick.From(45.11, 45.19, 45.32, 45.11));
ticks.Add(GenerateTick.From(45.19, 45.14, 45.25, 45.04));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.14, 45.20, 45.10));
ticks.Add(GenerateTick.From(45.13, 45.10, 45.16, 45.07));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.22, 45.10));
ticks.Add(GenerateTick.From(45.15, 45.22, 45.27, 45.14));
ticks.Add(GenerateTick.From(45.24, 45.43, 45.45, 45.20));
ticks.Add(GenerateTick.From(45.43, 45.44, 45.50, 45.39));
ticks.Add(GenerateTick.From(45.43, 45.55, 45.60, 45.35));
ticks.Add(GenerateTick.From(45.58, 45.55, 45.61, 45.39));
ticks.Add(GenerateTick.From(45.45, 45.01, 45.55, 44.80));
ticks.Add(GenerateTick.From(45.03, 44.23, 45.04, 44.17));
ticks.Add(GenerateTick.From(44.23, 43.95, 44.29, 43.81));
ticks.Add(GenerateTick.From(43.91, 43.08, 43.99, 43.08));
ticks.Add(GenerateTick.From(43.07, 43.55, 43.65, 43.06));
ticks.Add(GenerateTick.From(43.56, 43.95, 43.99, 43.53));
ticks.Add(GenerateTick.From(43.93, 44.47, 44.58, 43.93));
_data = GenerateTimeSeries.From(ticks);
}
public void CalculateWithNoTicksShouldReturn1()
{
var _series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
IAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(1d, averageProfit.Calculate(_series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void CalculateWithNoTrades()
{
var series = GenerateTimeSeries.From(1, 2, 3, 6, 5, 20, 3);
var mdd = new MaximumDrawdownCriterion();
Assert.AreEqual(0d, mdd.Calculate(series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void SetUp()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(44.98, 45.05, 45.17, 44.96, 1));
ticks.Add(GenerateTick.From(45.05, 45.10, 45.15, 44.99, 2));
ticks.Add(GenerateTick.From(45.11, 45.19, 45.32, 45.11, 1));
ticks.Add(GenerateTick.From(45.19, 45.14, 45.25, 45.04, 3));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.20, 45.10, 1));
ticks.Add(GenerateTick.From(45.15, 45.14, 45.20, 45.10, 2));
ticks.Add(GenerateTick.From(45.13, 45.10, 45.16, 45.07, 1));
ticks.Add(GenerateTick.From(45.12, 45.15, 45.22, 45.10, 5));
ticks.Add(GenerateTick.From(45.15, 45.22, 45.27, 45.14, 1));
ticks.Add(GenerateTick.From(45.24, 45.43, 45.45, 45.20, 1));
ticks.Add(GenerateTick.From(45.43, 45.44, 45.50, 45.39, 1));
ticks.Add(GenerateTick.From(45.43, 45.55, 45.60, 45.35, 5));
ticks.Add(GenerateTick.From(45.58, 45.55, 45.61, 45.39, 7));
ticks.Add(GenerateTick.From(45.45, 45.01, 45.55, 44.80, 6));
ticks.Add(GenerateTick.From(45.03, 44.23, 45.04, 44.17, 1));
ticks.Add(GenerateTick.From(44.23, 43.95, 44.29, 43.81, 2));
ticks.Add(GenerateTick.From(43.91, 43.08, 43.99, 43.08, 1));
ticks.Add(GenerateTick.From(43.07, 43.55, 43.65, 43.06, 7));
ticks.Add(GenerateTick.From(43.56, 43.95, 43.99, 43.53, 6));
ticks.Add(GenerateTick.From(43.93, 44.47, 44.58, 43.93, 1));
_data = GenerateTimeSeries.From(ticks);
}
public void SetUp()
{
_data = GenerateTimeSeries.From(1, 2, 3, 4, 3, 4, 5, 4, 3, 3, 4, 3, 2);
_timeFrame = 3;
_closePrice = new ClosePriceIndicator(_data);
_sma = new SmaIndicator(_closePrice, _timeFrame);
}
public void CashFlowSize()
{
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(1d, 2d, 3d, 4d, 5d);
var cashFlow = new CashFlow(sampleTimeSeries, new TradingRecord());
Assert.AreEqual(5, cashFlow.Size);
}
public void RewardRiskRatioCriterionOnlyWithGain()
{
var series = GenerateTimeSeries.From(1, 2, 3, 6, 8, 20, 3);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
Assert.IsTrue(double.IsInfinity(_rrc.Calculate(series, tradingRecord)));
}
public void BestShouldBeBuyAndHoldOnLoss()
{
var series = GenerateTimeSeries.From(6.0, 3.0, 6.0, 6.0);
var bestStrategy = (new TotalProfitCriterion()).ChooseBest(series, _strategies);
Assert.AreEqual(_buyAndHoldStrategy, bestStrategy);
}
public void AverageDirectionalMovement()
{
var tick1 = GenerateTick.From(0, 0, 13, 7);
var tick2 = GenerateTick.From(0, 0, 11, 5);
var tick3 = GenerateTick.From(0, 0, 15, 3);
var tick4 = GenerateTick.From(0, 0, 14, 2);
var tick5 = GenerateTick.From(0, 0, 13, 0.2);
IList <Tick> ticks = new List <Tick>();
ticks.Add(tick1);
ticks.Add(tick2);
ticks.Add(tick3);
ticks.Add(tick4);
ticks.Add(tick5);
var series = GenerateTimeSeries.From(ticks);
var admdown = new AverageDirectionalMovementDownIndicator(series, 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(0), 1);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(1), 4d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(2), 4d / 3 * 2d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(3), (4d / 3 * 2d / 3) * 2d / 3 + 1d / 3);
TaTestsUtils.AssertDecimalEquals(admdown.GetValue(4), ((4d / 3 * 2d / 3) * 2d / 3 + 1d / 3) * 2d / 3 + 1.8 * 1d / 3);
}
public void BestShouldBeAlwaysOperateOnProfit()
{
var series = GenerateTimeSeries.From(6.0, 9.0, 6.0, 6.0);
var bestStrategy = (new TotalProfitCriterion()).ChooseBest(series, _strategies);
Assert.AreEqual(_alwaysStrategy, bestStrategy);
}
public void GetValue()
{
IList <Tick> ticks = new List <Tick>();
ticks.Add(GenerateTick.From(1355.69, 2739.55));
ticks.Add(GenerateTick.From(1325.51, 3119.46));
ticks.Add(GenerateTick.From(1335.02, 3466.88));
ticks.Add(GenerateTick.From(1313.72, 2577.12));
ticks.Add(GenerateTick.From(1319.99, 2480.45));
ticks.Add(GenerateTick.From(1331.85, 2329.79));
ticks.Add(GenerateTick.From(1329.04, 2793.07));
ticks.Add(GenerateTick.From(1362.16, 3378.78));
ticks.Add(GenerateTick.From(1365.51, 2417.59));
ticks.Add(GenerateTick.From(1374.02, 1442.81));
TimeSeries series = GenerateTimeSeries.From(ticks);
var nvi = new NviIndicator(series);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(0), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(1), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(2), 1000);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(3), 984.0452);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(4), 988.7417);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(5), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(6), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(7), 997.6255);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(8), 1000.079);
TaTestsUtils.AssertDecimalEquals(nvi.GetValue(9), 1006.3116);
}
public void WithSimpleTrades()
{
var series = GenerateTimeSeries.From(1, 10, 5, 6, 1);
var mdd = new MaximumDrawdownCriterion();
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(1), Order.SellAt(2), Order.BuyAt(2), Order.SellAt(3), Order.BuyAt(3), Order.SellAt(4));
Assert.AreEqual(.9d, mdd.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateOnlyWithLossTrades()
{
var _series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
IAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(Math.Pow(95d / 100 * 70d / 100, 1d / 6), averageProfit.Calculate(_series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateOnlyWithGainTrades()
{
var _series = GenerateTimeSeries.From(100d, 105d, 110d, 100d, 95d, 105d);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(5));
IAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(1.0243, TaTestsUtils.TaOffset, averageProfit.Calculate(_series, tradingRecord));
}
public void CalculateShouldWork()
{
var series = GenerateTimeSeries.From(1, 2, 3, 6, 5, 20, 3);
var mdd = new MaximumDrawdownCriterion();
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(3), Order.SellAt(4), Order.BuyAt(5), Order.SellAt(6));
Assert.AreEqual(.875d, mdd.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithNoTrades()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
IAnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
Assert.AreEqual(1 / 0.7, buyAndHold.Calculate(series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void CalculateWithNoTrades()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
IAnalysisCriterion buyAndHold = new NumberOfTradesCriterion();
Assert.AreEqual(0d, buyAndHold.Calculate(series, new TradingRecord()), TaTestsUtils.TaOffset);
}
public void CalculateWithOneTrade()
{
var series = GenerateTimeSeries.From(100, 105);
var trade = new Trade(Order.BuyAt(0), Order.SellAt(1));
IAnalysisCriterion buyAndHold = new BuyAndHoldCriterion();
Assert.AreEqual(105d / 100, buyAndHold.Calculate(series, trade), TaTestsUtils.TaOffset);
}
public void RunOnWholeSeries()
{
TimeSeries series = GenerateTimeSeries.From(20d, 40d, 60d, 10d, 30d, 50d, 0d, 20d, 40d);
var allTrades = series.Run(_strategy).Trades;
Assert.AreEqual(2, allTrades.Count);
}
public void CalculateWithNoTrades()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
IAnalysisCriterion numberOfTicks = new NumberOfTicksCriterion();
Assert.AreEqual(0, (int)numberOfTicks.Calculate(series, new TradingRecord()));
}
public void CalculateWithOneTrade()
{
var _series = GenerateTimeSeries.From(100, 105);
var trade = new Trade(Order.BuyAt(0), Order.SellAt(1));
IAnalysisCriterion average = new AverageProfitCriterion();
Assert.AreEqual(Math.Pow(105d / 100, 1d / 2), average.Calculate(_series, trade), TaTestsUtils.TaOffset);
}
public void CalculateWithOneTrade()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var t = new Trade(Order.BuyAt(2), Order.SellAt(5));
IAnalysisCriterion numberOfTicks = new NumberOfTicksCriterion();
Assert.AreEqual(4, numberOfTicks.Calculate(series, t), TaTestsUtils.TaOffset);
}
public void CalculateWithOnlyGains()
{
var series = GenerateTimeSeries.From(1, 2, 3, 6, 8, 20, 3);
var mdd = new MaximumDrawdownCriterion();
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(2), Order.SellAt(5));
Assert.AreEqual(0d, mdd.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void WithTradesThatSellBeforeBuying()
{
var series = GenerateTimeSeries.From(2, 1, 3, 5, 6, 3, 20);
var mdd = new MaximumDrawdownCriterion();
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1), Order.BuyAt(3), Order.SellAt(4), Order.SellAt(5), Order.BuyAt(6));
Assert.AreEqual(.91, mdd.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithASimpleTrade()
{
var _series = GenerateTimeSeries.From(100d, 105d, 110d, 100d, 95d, 105d);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2));
IAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(Math.Pow(110d / 100, 1d / 3), averageProfit.Calculate(_series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateLinearRegression()
{
var values = new double[] { 1, 2, 1.3, 3.75, 2.25 };
var indicator = new ClosePriceIndicator(GenerateTimeSeries.From(values));
var reg = new SimpleLinearRegressionIndicator(indicator, 5);
// SimpleRegression origReg = buildSimpleRegression(values);
TaTestsUtils.AssertDecimalEquals(reg.GetValue(4), 2.91); //origReg.predict(4));
}
public void GetValueWithCacheLengthIncrease()
{
var data = new double[200];
TaTestsUtils.ArraysFill(data, 10);
var sma = new SmaIndicator(new ClosePriceIndicator(GenerateTimeSeries.From(data)), 100);
TaTestsUtils.AssertDecimalEquals(sma.GetValue(105), 10);
}
public void ReallyLongCashFlow()
{
const int size = 1000000;
TimeSeries sampleTimeSeries = GenerateTimeSeries.From(Enumerable.Repeat((Tick)GenerateTick.From(10), size).ToList());
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(size - 1));
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(size - 1), 1);
}
public void CalculateWithTwoTrades()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(5));
IAnalysisCriterion numberOfTicks = new NumberOfTicksCriterion();
Assert.AreEqual(6, numberOfTicks.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}