private IEnumerable<Signal> AddEquityTotalling(IEnumerable<Signal> signals)
{
var equityTotaller = new SignalEquityPositionTotaller(signals, 100m);
var totals = equityTotaller.Calculate();
return signals.Select(s =>
{
var total = totals.First(t => t.Key == s.Date);
s.CurrentEquity = total.Value;
return s;
});
}
public void ShortIsSucessfulTest()
{
var signals = new[]{
Signal.Create("SGP.L", DateTime.Today, SignalType.Sell, 1000),
Signal.Create("SGP.L", DateTime.Today.AddDays(1), SignalType.Buy, 900)
};
var totaller = new SignalEquityPositionTotaller(signals, 2000);
var result = totaller.Calculate();
var expectedResult = new Dictionary<DateTime, decimal>{
{DateTime.Today.AddDays(0), 2000},
{DateTime.Today.AddDays(1), 2200}
};
Assert.AreEqual(expectedResult, result);
}
public void TakeProfitsTest()
{
var signals = new[]{
Signal.Create("SGP.L", DateTime.Today, SignalType.Buy, 1000),
Signal.Create("SGP.L", DateTime.Today.AddDays(1), SignalType.TakeProfits, 1100),
Signal.Create("SGP.L", DateTime.Today.AddDays(2), SignalType.Sell, 1000),
Signal.Create("SGP.L", DateTime.Today.AddDays(3), SignalType.Buy, 800),
Signal.Create("SGP.L", DateTime.Today.AddDays(4), SignalType.TakeProfits, 880),
};
var totaller = new SignalEquityPositionTotaller(signals, 2000);
var result = totaller.Calculate();
var expectedResult = new Dictionary<DateTime, decimal>{
{DateTime.Today.AddDays(0), 2000},
{DateTime.Today.AddDays(1), 2200},
{DateTime.Today.AddDays(2), 2200},
{DateTime.Today.AddDays(3), 2640},
{DateTime.Today.AddDays(4), 2904}
};
Assert.AreEqual(expectedResult, result);
}
public void NoSignalsTest()
{
var totaller = new SignalEquityPositionTotaller(new List<Signal>(), 1000);
var result = totaller.Calculate();
Assert.AreEqual(0, result.Count);
}
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;
}
