public void EvaluateTest()
{
var originalHours = CurrentHours(_config);
OptimizerAppDomainManager.SetResults(AppDomain.CurrentDomain, new Dictionary <string, Dictionary <string, decimal> >());
OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain).Add("key", new Dictionary <string, decimal>()
{
{ "SharpeRatio", 123m }
});
//will not adapt on first result
Assert.AreEqual(originalHours, CurrentHours(_config));
_unit.Evaluate(Mock.Of <IChromosome>());
Assert.AreEqual(originalHours, CurrentHours(_config));
var fitness = _unit.Evaluate(Mock.Of <IChromosome>());
var actualHours = CurrentHours(_config);
//sharpe improved by 50%, period window should increase by 24 hours
Assert.AreEqual(72, Math.Round(actualHours));
actualHours = CurrentHours(_config);
fitness = _unit.Evaluate(Mock.Of <IChromosome>());
actualHours = CurrentHours(_config);
//50% again
Assert.AreEqual(108, Math.Round(actualHours));
}
public void ExtendFailureKeysTest()
{
var failure = new Dictionary <string, decimal> {
{ "SharpeRatio", -10m }
};
var success = new Dictionary <string, decimal> {
{ "SharpeRatio", 1.5m }
};
var extending = new DateTime(2001, 1, 1);
var failureKey = JsonConvert.SerializeObject(new Dictionary <string, object> {
{ "startDate", _config.StartDate }, { "period", 123 }
});
var successKey = JsonConvert.SerializeObject(new Dictionary <string, object> {
{ "startDate", _config.StartDate }, { "period", 456 }
});
var expectedKey = JsonConvert.SerializeObject(new Dictionary <string, object> {
{ "startDate", extending }, { "period", 123 }
});
OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain).Add(failureKey, failure);
OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain).Add(successKey, success);
_unit.ExtendFailureKeysWrapper(extending);
Assert.AreEqual(1.5m, OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain)[successKey]["SharpeRatio"]);
Assert.AreEqual(-10m, OptimizerAppDomainManager.GetResults(AppDomain.CurrentDomain)[expectedKey]["SharpeRatio"]);
}
private Dictionary<string, Dictionary<string, decimal>> GetResults()
{
if (ScenarioContext.Current.Get<OptimizerConfiguration>().UseSharedAppDomain)
{
return SingleAppDomainManager.GetResults();
}
else
{
return OptimizerAppDomainManager.GetResults();
}
}