public void FollowTargetAdjustmentStrategy_AsExpected()
{
var toBuyAmount = 2000m;
var(currentWeights, targetWeights, portfolioValue) = TestResources.ReadWeights();
var strategy = new FollowTargetAdjustmentStrategy();
var adjustedWeights =
strategy.AdjustWeights(currentWeights, targetWeights, portfolioValue / toBuyAmount);
Assert.IsTrue(adjustedWeights.Sum(w => w.Value).IsApproxOne());
}
public void AdjustWeights_EmptyPortfolio_ToBuyWeightsCorrectlyCalculated()
{
var currentWeights = new StockWeights();
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var strategy = new FollowTargetAdjustmentStrategy();
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 0);
Assert.AreEqual(0.2m, toBuyWeights["TLV"]);
Assert.AreEqual(0.3m, toBuyWeights["FP"]);
Assert.AreEqual(0.5m, toBuyWeights["EL"]);
}
public void AdjustWeights_CurrentWeightHigherThanTargetWeight_WouldNormallyResultInNegativeWeight_ToBuyWeightIsRemoved()
{
var currentWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.2m }, { "EL", 0.6m }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.1m }, { "FP", 0.3m }, { "EL", 0.5m }, { "SNG", 0.1m }
};
var strategy = new FollowTargetAdjustmentStrategy();
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 2);
Assert.IsFalse(toBuyWeights.ContainsKey("TLV"));
}
public void AdjustWeights_InverseToBuyRatioVeryHigh_ToBuyWeightsSumEqualsOneIsCorrecltyEnforced()
{
var currentWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.2m }, { "EL", 0.6m }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var strategy = new FollowTargetAdjustmentStrategy();
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 10);
Assert.IsTrue(toBuyWeights.Sum(w => w.Value).IsApproxOne());
}
public void AdjustWeights_InverseToBuyRatioIsOne_ToBuyWeightsCorrectlyCalculated() // Simulates second buying sessions => inverseToBuyRatio = 1
{
var currentWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.2m }, { "EL", 0.6m }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.3m }, { "EL", 0.5m }
};
var strategy = new FollowTargetAdjustmentStrategy();
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 1);
Assert.AreEqual(0.2m, toBuyWeights["TLV"]);
Assert.AreEqual(0.4m, toBuyWeights["FP"]);
Assert.AreEqual(0.4m, toBuyWeights["EL"]);
}
public void AdjustWeights_TargetWeightsHasMoreSymbols_ToBuyWeightsCorrectlyCalculated()
{
var currentWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.2m }, { "EL", 0.6m }
};
var targetWeights = new StockWeights
{
{ "TLV", 0.2m }, { "FP", 0.2m }, { "EL", 0.5m }, { "SNG", 0.1m }
};
var strategy = new FollowTargetAdjustmentStrategy();
var toBuyWeights = strategy.AdjustWeights(currentWeights, targetWeights, toBuyInverseRatio: 2);
Assert.AreEqual(0.2m, toBuyWeights["TLV"]);
Assert.AreEqual(0.2m, toBuyWeights["FP"]);
Assert.AreEqual(0.3m, toBuyWeights["EL"]);
Assert.AreEqual(0.3m, toBuyWeights["SNG"]);
}
