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 BetterThan()
{
IAnalysisCriterion criterion = new MaximumDrawdownCriterion();
Assert.IsTrue(criterion.BetterThan(0.9, 1.5));
Assert.IsFalse(criterion.BetterThan(1.2, 0.4));
}
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 CalculateWithNullSeriesSizeShouldReturn0()
{
MockTimeSeries series = new MockTimeSeries(new decimal[0]);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
Assert.AreEqual(0M, mdd.Calculate(series, new BaseTradingRecord()));
}
public void CalculateWithNoTrades()
{
MockTimeSeries series = new MockTimeSeries(1, 2, 3, 6, 5, 20, 3);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
Assert.AreEqual(0M, mdd.Calculate(series, new BaseTradingRecord()));
}
public void BetterThan()
{
AbstractAnalysisCriterion criterion = new MaximumDrawdownCriterion();
Assert.IsTrue(criterion.BetterThan(0.9M, 1.5M));
Assert.IsFalse(criterion.BetterThan(1.2M, 0.4M));
}
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 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 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 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 WithConstrainedTimeSeries()
{
var sampleSeries = GenerateTimeSeries.From(new double[] { 1, 1, 1, 1, 1, 10, 5, 6, 1, 1, 1 });
var subSeries = sampleSeries.Subseries(4, 8);
var mdd = new MaximumDrawdownCriterion();
var tradingRecord = new TradingRecord(Order.BuyAt(4), Order.SellAt(5), Order.BuyAt(5), Order.SellAt(6), Order.BuyAt(6), Order.SellAt(7), Order.BuyAt(7), Order.SellAt(8));
Assert.AreEqual(.9d, mdd.Calculate(subSeries, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateWithOnlyGains()
{
MockTimeSeries series = new MockTimeSeries(1, 2, 3, 6, 8, 20, 3);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(2, series), Order.sellAt(5, series));
Assert.AreEqual(0M, mdd.Calculate(series, tradingRecord));
}
public void WithTradesThatSellBeforeBuying()
{
MockTimeSeries series = new MockTimeSeries(2, 1, 3, 5, 6, 3, 20);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(3, series), Order.sellAt(4, series),
Order.sellAt(5, series), Order.buyAt(6, series));
Assert.AreEqual(.91M, mdd.Calculate(series, tradingRecord));
}
public void CalculateShouldWork()
{
MockTimeSeries series = new MockTimeSeries(1, 2, 3, 6, 5, 20, 3);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(3, series), Order.sellAt(4, series),
Order.buyAt(5, series), Order.sellAt(6, series));
Assert.AreEqual(.875M, mdd.Calculate(series, tradingRecord));
}
public void WithSimpleTrades()
{
MockTimeSeries series = new MockTimeSeries(1, 10, 5, 6, 1);
MaximumDrawdownCriterion mdd = new MaximumDrawdownCriterion();
ITradingRecord tradingRecord = new BaseTradingRecord(
Order.buyAt(0, series), Order.sellAt(1, series),
Order.buyAt(1, series), Order.sellAt(2, series),
Order.buyAt(2, series), Order.sellAt(3, series),
Order.buyAt(3, series), Order.sellAt(4, series));
Assert.AreEqual(.9M, mdd.Calculate(series, tradingRecord));
}