public void OneStrategyUsedTest()
{
var strategy = new Mock<AbstractTradingStrategy>();
StrategyApplicabilitySetup(strategy, DateTime.Today, DateTime.Today.AddDays(4), true);
StrategySignalSetup(strategy, SignalType.Buy, DateTime.Today);
StrategySignalSetup(strategy, SignalType.TakeProfits, DateTime.Today.AddDays(4));
var signalGenerator = new SignalGenerator(this.SetupDatapoints(), new[] { strategy.Object });
var signals = signalGenerator.Generate();
Assert.AreEqual(new[] { SignalType.Buy, SignalType.TakeProfits, }, signals.Select(s => s.SignalType).ToArray());
}
public void StrategyUsedUntilPositionIsClosedTest()
{
var strategy = new Mock<AbstractTradingStrategy>();
StrategyApplicabilitySetup(strategy, DateTime.Today, DateTime.Today.AddDays(1), true);
StrategyApplicabilitySetup(strategy, DateTime.Today.AddDays(2), DateTime.Today.AddDays(7), false);
StrategySignalSetup(strategy, SignalType.Buy, DateTime.Today);
StrategySignalSetup(strategy, SignalType.TakeProfits, DateTime.Today.AddDays(4));
// The below signal should not be returned as the stategy should no longer be applicable
StrategySignalSetup(strategy, SignalType.Sell, DateTime.Today.AddDays(6));
var signalGenerator = new SignalGenerator(this.SetupDatapoints(), new[] { strategy.Object });
var signals = signalGenerator.Generate();
Assert.AreEqual(new[] { SignalType.Buy, SignalType.TakeProfits, }, signals.Select(s => s.SignalType).ToArray());
}
public void TwoStrategiesUsedTest()
{
var strategy1 = new Mock<AbstractTradingStrategy>();
var strategy2 = new Mock<AbstractTradingStrategy>();
StrategyApplicabilitySetup(strategy1, DateTime.Today, DateTime.Today.AddDays(4), true);
StrategyApplicabilitySetup(strategy1, DateTime.Today.AddDays(5), DateTime.Today.AddDays(7), false);
StrategyApplicabilitySetup(strategy2, DateTime.Today, DateTime.Today.AddDays(4), false);
StrategyApplicabilitySetup(strategy2, DateTime.Today.AddDays(5), DateTime.Today.AddDays(7), true);
StrategySignalSetup(strategy1, SignalType.Buy, DateTime.Today);
StrategySignalSetup(strategy1, SignalType.TakeProfits, DateTime.Today.AddDays(4));
StrategySignalSetup(strategy2, SignalType.Sell, DateTime.Today.AddDays(6));
var signalGenerator = new SignalGenerator(this.SetupDatapoints(), new[] { strategy1.Object, strategy2.Object });
var signals = signalGenerator.Generate();
Assert.AreEqual(new[] { SignalType.Buy, SignalType.TakeProfits, SignalType.Sell }, signals.Select(s => s.SignalType).ToArray());
}
private IEnumerable<Signal> GenerateSignals(string symbol, IEnumerable<DataPoints> dataPoints)
{
var newSignals = new List<Signal>();
var company = this.companyRepository.FindBySymbol(symbol);
if (company.ExcludeYn == 0)
{
var generator = new SignalGenerator(dataPoints, this.CreateStrategies(dataPoints));
var generatedSignals = generator.Generate().ToList();
if (generatedSignals.Any())
{
var totaller = new SignalEquityPositionTotaller(generatedSignals, 100);
var totals = totaller.Calculate();
var signalsToInsert = generatedSignals.Where(s => totals.ContainsKey(s.Date)).Select(s =>
{
s.CurrentEquity = totals[s.Date];
return s;
});
newSignals.AddRange(signalsToInsert);
}
}
return newSignals;
}
