public void BetterThan()
{
AbstractAnalysisCriterion criterion = new AverageProfitCriterion();
Assert.IsTrue(criterion.BetterThan(2.0M, 1.5M));
Assert.IsFalse(criterion.BetterThan(1.5M, 2.0M));
}
public void CalculateWithNoBarsShouldReturn1()
{
series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
AbstractAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(1M, averageProfit.Calculate(series, new BaseTradingRecord()));
}
public void BetterThan()
{
IAnalysisCriterion criterion = new AverageProfitCriterion();
Assert.IsTrue(criterion.BetterThan(2.0, 1.5));
Assert.IsFalse(criterion.BetterThan(1.5, 2.0));
}
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 CalculateWithOneTrade()
{
series = new MockTimeSeries(100, 105);
Trade trade = new Trade(Order.buyAt(0, series), Order.sellAt(1, series));
AbstractAnalysisCriterion average = new AverageProfitCriterion();
Assert.AreEqual(1.0246950765959598383221038678M, average.Calculate(series, trade));
}
public void CalculateWithASimpleTrade()
{
series = new MockTimeSeries(100M, 105M, 110M, 100M, 95M, 105M);
ITradingRecord tradingRecord = new BaseTradingRecord(Order.buyAt(0, series), Order.sellAt(2, series));
AbstractAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(1.0322801154563671592135852251M, averageProfit.Calculate(series, tradingRecord)); // (decimal)Math.Pow(110d / 100, 1d / 3)
}
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 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 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 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 CalculateOnlyWithLossTrades()
{
series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(2, series), Order.sellAt(5, series));
AbstractAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(0.934265419203025064794086149M, averageProfit.Calculate(series, tradingRecord)); // (decimal)Math.Pow(95d / 100 * 70d / 100, 1d / 6)
}
public void CalculateOnlyWithGainTrades()
{
series = new MockTimeSeries(100M, 105M, 110M, 100M, 95M, 105M);
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(2, series),
Order.buyAt(3, series), Order.sellAt(5, series));
AbstractAnalysisCriterion averageProfit = new AverageProfitCriterion();
Assert.AreEqual(1.0243074482606615553441174081M, averageProfit.Calculate(series, tradingRecord));
}
public void ToStringMethod()
{
AbstractAnalysisCriterion c1 = new AverageProfitCriterion();
Assert.AreEqual("Average Profit", c1.ToString());
AbstractAnalysisCriterion c2 = new BuyAndHoldCriterion();
Assert.AreEqual("Buy And Hold", c2.ToString());
AbstractAnalysisCriterion c3 = new RewardRiskRatioCriterion();
Assert.AreEqual("Reward Risk Ratio", c3.ToString());
}
