public void PrepareBuyAndHoldWithEmptyInputThrowsException()
{
// Arrange
var target = new BuyAndHold();
// Act
target.Prepare(new List <Candle>());
}
public void PrepareBuyAndHoldWithNullInputThrowsException()
{
// Arrange
var target = new BuyAndHold();
// Act
target.Prepare(null);
}
public void PrepareBuyAndHoldWithListReturnsExpectedPattern()
{
// Arrange
var target = new BuyAndHold();
var list = Enumerable.Range(1, 100).
Select(_ => new Candle {
Close = 2.0m * (decimal)Math.Sin(_) * (decimal)Math.Sin(_)
}).ToList();
// Act
var result = target.Prepare(list);
// Assert
Assert.AreEqual(100, result.Count());
Assert.AreEqual(TradeAdvice.Buy, result.First());
for (int index = 1; index < result.Count; index++)
{
Assert.AreEqual(TradeAdvice.Hold, result[index]);
}
}
private void RunBenchmark(ReqAnalyzePortfolio request, BacktestingProperty property, DateTime startDate, DateTime endDate, List <DateTime> tradingCalendar, List <Report> reports)
{
var simulator = new Simulator();
using (var context = new QTContext())
{
var assetCode = request.Benchmark.AssetCode;
var tradingDataset = new Dictionary <DateTime, ITradingData>();
var benchmarkDataset = new Dictionary <string, Dictionary <DateTime, ITradingData> >();
if (request.Country == "JP")
{
var index = context.Indices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
else if (request.Country == "KR")
{
var index = context.KoreaIndices.Where(x => x.AssetCode == assetCode &&
x.CreatedAt >= startDate && x.CreatedAt <= endDate);
if (0 < index.Count())
{
index.ToList().ForEach(x => tradingDataset.Add(x.CreatedAt, x));
}
}
benchmarkDataset.Add(assetCode, tradingDataset);
var strategy = new BuyAndHold();
var benchmark = new Dictionary <string, PortfolioSubject>();
benchmark.Add(assetCode, request.Benchmark);
var report = strategy.Run(benchmarkDataset, tradingCalendar, property, benchmark, period: Period.Day, isBenchmark: true);
reports.Add(report);
}
}