public void ReturnsExpectedPortfolioTarget(
TrailingStopRiskManagementModelTestParameters parameters)
{
var decimalPrices = System.Array.ConvertAll(parameters.Prices, x => (decimal)x);
var security = new Mock <Security>(
Symbols.AAPL,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(Currencies.USD, 1000m, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.CallBase = true;
security.Object.FeeModel = new ConstantFeeModel(0);
var holding = new SecurityHolding(security.Object, new IdentityCurrencyConverter(Currencies.USD));
holding.SetHoldings(parameters.InitialPrice, parameters.Quantity);
security.Object.Holdings = holding;
var algorithm = new QCAlgorithm();
algorithm.SetPandasConverter();
algorithm.Securities.Add(Symbols.AAPL, security.Object);
if (parameters.Language == Language.Python)
{
using (Py.GIL())
{
const string name = nameof(TrailingStopRiskManagementModel);
var instance = Py.Import(name).GetAttr(name).Invoke(parameters.MaxDrawdownPercent.ToPython());
var model = new RiskManagementModelPythonWrapper(instance);
algorithm.SetRiskManagement(model);
}
}
else
{
var model = new TrailingStopRiskManagementModel(parameters.MaxDrawdownPercent);
algorithm.SetRiskManagement(model);
}
var quantity = parameters.Quantity;
for (int i = 0; i < decimalPrices.Length; i++)
{
var price = decimalPrices[i];
security.Object.SetMarketPrice(new Tick(DateTime.Now, security.Object.Symbol, price, price));
security.Setup((m => m.Invested)).Returns(parameters.InvestedArray[i]);
var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
var shouldLiquidate = parameters.ShouldLiquidateArray[i];
if (shouldLiquidate)
{
Assert.AreEqual(1, targets.Count);
Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
Assert.AreEqual(0, targets[0].Quantity);
}
else
{
Assert.AreEqual(0, targets.Count);
}
if (shouldLiquidate || parameters.ChangePosition[i])
{
// Go from long to short or viceversa
holding.SetHoldings(price, quantity = -quantity);
}
}
}
static IEnumerable <TestCaseData> GenerateTestData()
{
Language[] languages = new Language[] { Language.CSharp, Language.Python };
TrailingStopRiskManagementModelTestParameters[] datasets = new TrailingStopRiskManagementModelTestParameters[]
{
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnCorrectPriceChangeInLongPosition",
0.05m,
1m,
1m,
new decimal[] { 100m, 99.95m, 99.94m, 95m, 94.99m },
new bool[] { true, true, true, true, true },
new bool[] { false, false, false, false, false },
new bool[] { false, false, false, false, true }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnCorrectPriceChangeInShortPosition",
0.1m,
100m,
-1m,
new decimal[] { 50m, 54.99m, 55m, 55.01m },
new bool[] { true, true, true, true },
new bool[] { false, false, false, false },
new bool[] { false, false, false, true }
),
new TrailingStopRiskManagementModelTestParameters(
"DoesntLiquidateIfSecurityIsNotInvested",
0.05m,
1m,
1m,
new decimal[] { 100m, 94.99m, 90m },
new bool[] { false, false, false },
new bool[] { false, false, false },
new bool[] { false, false, false }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnCorrectPriceChangeInLongPositionWithUnivestedSecurityInFirstPrices",
0.05m,
1m,
1m,
new decimal[] { 10m, 100m, 99.95m, 99.94m, 95m, 94.99m },
new bool[] { false, true, true, true, true, true },
new bool[] { false, false, false, false, false, false },
new bool[] { false, false, false, false, false, true }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnCorrectPriceChangeInShortPositionWithUnivestedSecurityInFirstPrices",
0.1m,
100m,
-1m,
new decimal[] { 90m, 100m, 50m, 54.99m, 55m, 55.01m },
new bool[] { false, true, true, true, true, true },
new bool[] { false, false, false, false, false, false },
new bool[] { false, false, false, false, false, true }
),
new TrailingStopRiskManagementModelTestParameters(
"DoesntLiquidateIfPricesDontChangeInLongPosition",
0.05m,
1m,
1m,
new decimal[] { 1m, 1m, 1m, 1m },
new bool[] { true, true, true, true },
new bool[] { false, false, false, false },
new bool[] { false, false, false, false }
),
new TrailingStopRiskManagementModelTestParameters(
"DoesntLiquidateIfPricesDontChangeInShortPosition",
0.05m,
1m,
-1m,
new decimal[] { 1m, 1m, 1m, 1m },
new bool[] { true, true, true, true },
new bool[] { false, false, false, false },
new bool[] { false, false, false, false }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesAfterSwitchingToShortPosition",
0.05m,
1m,
1m,
new decimal[] { 100m, 90m, 70m, 50m, 52.6m },
new bool[] { true, true, true, true, true },
new bool[] { true, false, false, false, false },
new bool[] { false, false, false, false, true }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnFirstCallForLongPosition",
0.1m,
100m,
1m,
new decimal[] { 89.99m },
new bool[] { true },
new bool[] { false },
new bool[] { true }
),
new TrailingStopRiskManagementModelTestParameters(
"LiquidatesOnFirstCallForShortPosition",
0.1m,
100m,
-1m,
new decimal[] { 110.01m },
new bool[] { true },
new bool[] { false },
new bool[] { true }
)
};
return((
from parameters in datasets
from language in languages
select new TrailingStopRiskManagementModelTestParameters(
parameters.Name,
parameters.MaxDrawdownPercent,
parameters.InitialPrice,
parameters.Quantity,
parameters.Prices,
parameters.InvestedArray,
parameters.ChangePosition,
parameters.ShouldLiquidateArray,
language
)
)
.OrderBy(c => c.Language)
// generate test cases from test parameters
.Select(x => new TestCaseData(x).SetName(x.Language + "/" + x.Name))
.ToArray());
}
