Exemple #1
0
        public void PrepareBuyAndHoldWithEmptyInputThrowsException()
        {
            // Arrange
            var target = new BuyAndHold();

            // Act
            target.Prepare(new List <Candle>());
        }
Exemple #2
0
        public void PrepareBuyAndHoldWithNullInputThrowsException()
        {
            // Arrange
            var target = new BuyAndHold();

            // Act
            target.Prepare(null);
        }
Exemple #3
0
        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]);
            }
        }
Exemple #4
0
        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);
            }
        }