public void GetTransformedPositionRecordsTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
var startDate = new DateTime(2000, 1, 4);
var endDate = new DateTime(2003, 1, 4);
var periodicTimeDef = new PeriodicTimeDefinition(3, PeriodicType.Month);
periodicTimeDef.Initialize(startDate, endDate);
ProfitCalculationEngine_Accessor target = new ProfitCalculationEngine_Accessor(currencyDataSource);
PositionRuntime positionRuntime = new PositionRuntime(FXStrategy.Interpreter.PositionType.Long);
positionRuntime.PositionRecords.Add(new PositionRecord(
new DateTime(2000, 1, 4), new Currency("USD"), new Currency("EUR"),
FXStrategy.Interpreter.PositionType.Long, positionRuntime)
{
EndDate = new DateTime(2001,3,2)
});
//var actual = target.GetTransformedPositionRecords(positionRuntime, periodicTimeDef);
//Assert.AreEqual(actual.Count, 6);
//Assert.IsTrue(actual.ElementAt(5).Type == FXStrategy.Interpreter.PositionType.Short);
//Assert.IsTrue(actual.Take(5).All(t => t.Type == FXStrategy.Interpreter.PositionType.Long));
}
public void GetTermFromPeriodTest()
{
DateTime positionStartDate = new DateTime(2000,1,4);
DateTime positionEndDate = new DateTime(2000,7,15);
PeriodicTimeDefinition termLength = new PeriodicTimeDefinition(3, PeriodicType.Month);
termLength.Initialize(positionStartDate, new DateTime(2001,1,1));
List<Term> actual;
actual = TermManager.GetTermFromPeriod(positionStartDate, positionEndDate, termLength);
Assert.AreEqual(3, actual.Count);
}
public void CanExecuteTest()
{
PeriodicTimeDefinition target = new PeriodicTimeDefinition( 3,
PeriodicType.Month
);
DateTime startDate = new DateTime(2000,1,7);
DateTime currentDate = new DateTime(2000,4,7);
bool expected = true; // TODO: Initialize to an appropriate value
bool actual;
target.Initialize(startDate, currentDate);
actual = target.CanExecute(currentDate);
Assert.AreEqual(expected, actual);
}
/// <summary>
/// Calculate returns from the position records in the position run time
/// </summary>
/// <param name="positionRunTimeList">list of positions (from the runtime)</param>
/// <param name="startDate">start date of the back-testing analysis</param>
/// <param name="endDate">end date of the back-testing analysis</param>
/// <param name="termLength">Length of forward contract</param>
public void Evaluate(List<PositionRuntime> positionRunTimeList,
DateTime startDate, DateTime endDate, PeriodicTimeDefinition termLength)
{
if (termLength.AvailableDates == null)
termLength.Initialize(startDate, endDate);
_effectiveDates = Util.DateTimeHelper.GetWeekdaysDate(startDate, endDate);
_individualPositionIndex = new Dictionary<PositionRuntime, List<TimeSeriesData>>();
// initialize data set
_currencyDataSource.PreLoad();
// Calculate profit for each position parallely
positionRunTimeList.AsParallel().ForAll(position =>
CalculateIndividualPositionProfitIndexes(startDate,endDate,termLength,position));
CalculateReturnIndex(startDate,endDate,termLength);
}