public void TestAccAggregatorProfits()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(5, candle);
candle.Close = 10;
acc.Close(candle);
Assert.AreEqual(45, acc.Profits[0]);
candle.Close = 5;
acc.Sell(1, candle);
candle.Close = 3;
acc.Pass(candle);
candle.Close = 2;
acc.Sell(2, candle);
Assert.AreEqual(3, acc.Profits[1]);
candle.Close = 3;
acc.Buy(3, candle);
Assert.AreEqual(-3, acc.Profits[2]);
Assert.AreEqual(15, acc.MeanProfit);
Assert.AreEqual((float)2 / 3, acc.SuccessRatio);
Assert.AreEqual(-3, acc.MeanNegativeProfit);
Assert.AreEqual(24, acc.MeanPositiveProfit);
}
public void TestAccAggregatorSharpIndex()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
TimeStamp = new DateTime(2017, 1, 2, 15, 0, 0),
Close = 1
};
acc.Pass(candle);
Assert.AreEqual(0, acc.Balance);
Assert.AreEqual(0, acc.SharpIndex);
candle.TimeStamp = new DateTime(2017, 2, 1, 15, 0, 0);
acc.Buy(1, candle);
Assert.AreEqual(0, acc.SharpIndex);
candle.TimeStamp = new DateTime(2017, 2, 2, 15, 0, 0);
candle.Close = 10;
acc.Sell(2, candle);
candle.TimeStamp = new DateTime(2017, 3, 2, 15, 0, 0);
candle.Close = 12;
acc.Buy(1, candle);
candle.TimeStamp = new DateTime(2017, 4, 1, 14, 0, 0);
candle.Close = 15;
acc.Close(candle);
Assert.AreEqual(0.5, acc.SuccessRatio);
Assert.IsTrue(Math.Abs(3.5 / (float)Math.Sqrt((3.5 - 9) * (3.5 - 9) + (3.5 + 2) * (3.5 + 2)) - acc.SharpIndex) < 10e-3);
}
public TestAccAgregator Calculate(float[] parameters, out IAlgorithm alg)
{
using (var mc = new MemoryCache <T>(_cache))
{
alg = (IAlgorithm)Activator.CreateInstance(typeof(T1));
var acc = new TestAccAgregator();
alg.Initialize(parameters);
Candle curr = mc.Current;
while (mc.MoveNext())
{
var answer = alg.Check(mc.Current);
if (answer == AlgResult.Buy)
{
acc.Buy(1 - acc.Assets, mc.Current);
}
if (answer == AlgResult.Sell)
{
acc.Sell(1 + acc.Assets, mc.Current);
}
if (answer == AlgResult.Exit)
{
acc.Close(mc.Current);
}
curr = mc.Current;
}
acc.Close(curr);
return(acc);
}
}
public void TestBasicAlgProfit()
{
using (var provider = new TextCandleProvider())
{
provider.SetTextParams("data/si-9-17.dat", ';');
var alg = new BasicAlgorithm(5, 5);
var acc = new TestAccAgregator();
while (provider.MoveNext())
{
var answer = alg.Check(provider.Current);
if (answer == FortsRobotLib.AlgResult.Buy)
{
acc.Buy(1 - acc.Assets, provider.Current);
}
if (answer == FortsRobotLib.AlgResult.Sell)
{
acc.Sell(1 + acc.Assets, provider.Current);
}
if (answer == FortsRobotLib.AlgResult.Exit)
{
acc.Close(provider.Current);
}
}
acc.Close(provider.Current);
Assert.IsTrue(acc.Balance > 0);
}
}
public void TestGuppiAlgData()
{
using (var provider = new TextCandleProvider())
{
provider.SetTextParams(@"data\si-9-17.dat", ';');
var alg = new GuppiAlgorithm(4, 6, 9, 13, 31, 36, 41, 46, 51, 61);
var acc = new TestAccAgregator();
for (var i = 0; i < 61; i++)
{
provider.MoveNext();
var res = alg.Check(provider.Current);
Assert.IsTrue(res == AlgResult.Exit && !alg.Data.Last().Any());
}
while (provider.MoveNext())
{
var answer = alg.Check(provider.Current);
if (answer == FortsRobotLib.AlgResult.Buy)
{
acc.Buy(1 - acc.Assets, provider.Current);
}
if (answer == FortsRobotLib.AlgResult.Sell)
{
acc.Sell(1 + acc.Assets, provider.Current);
}
if (answer == FortsRobotLib.AlgResult.Exit)
{
acc.Close(provider.Current);
}
Assert.IsTrue(alg.Data.Last().Length == 10 + 10 + 8 + 1);
}
}
}
public void TestAccAggregatorBuySell()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(1, candle);
candle.Close = 0;
acc.Sell(1, candle);
Assert.AreEqual(acc.Balance, -1);
Assert.AreEqual(acc.Assets, 0);
}
public void TestAccAggregatorReset()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(1, candle);
Assert.AreEqual(acc.Assets, 1);
acc.Reset();
Assert.AreEqual(acc.Balance, 0);
Assert.AreEqual(acc.Data.Length, 0);
Assert.AreEqual(acc.Assets, 0);
}
public void TestAccAggregatorBuySellClose()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Buy(5, candle);
candle.Close = 10;
acc.Pass(candle);
candle.Close = 7;
acc.Sell(3, candle);
candle.Close = 5;
acc.Pass(candle);
candle.Close = 1;
acc.Sell(10, candle);
acc.Close(candle);
Assert.AreEqual(acc.Balance, 18);
Assert.AreEqual(acc.Data.Length, 6);
Assert.AreEqual(acc.Assets, 0);
}
public void TestAccAggregatorBuyAndHold()
{
var acc = new TestAccAgregator();
var candle = new Candle()
{
Close = 1
};
acc.Pass(candle);
Assert.AreEqual(acc.Balance, 0);
acc.Buy(1, candle);
Assert.AreEqual(acc.Balance, 0);
candle.Close = 2;
acc.Pass(candle);
Assert.AreEqual(acc.Balance, 1);
candle.Close = 0;
acc.Pass(candle);
Assert.AreEqual(acc.Balance, -1);
candle.Close = 1;
acc.Close(candle);
Assert.AreEqual(acc.Balance, 0);
Assert.AreEqual(acc.Data.Length, 5);
}