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94 changes: 94 additions & 0 deletions
94
name.abuchen.portfolio.tests/src/name/abuchen/portfolio/math/RiskTest.java
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| package name.abuchen.portfolio.math; | ||
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| import static org.hamcrest.core.Is.is; | ||
| import static org.hamcrest.number.IsCloseTo.closeTo; | ||
| import static org.junit.Assert.assertThat; | ||
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| import java.util.Arrays; | ||
| import java.util.Date; | ||
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| import name.abuchen.portfolio.math.Risk.Drawdown; | ||
| import name.abuchen.portfolio.math.Risk.Volatility; | ||
| import name.abuchen.portfolio.util.Dates; | ||
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| import org.junit.Test; | ||
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| public class RiskTest | ||
| { | ||
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| private Date[] getDates(int size) | ||
| { | ||
| Date[] dates = new Date[size]; | ||
| for (int i = 0; i < size; i++) | ||
| dates[i] = Dates.date(2015, 1, i + 1); | ||
| return dates; | ||
| } | ||
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| @Test | ||
| public void testDrawdown() | ||
| { | ||
| int size = 10; | ||
| Date[] dates = getDates(size); | ||
| double[] values = new double[size]; | ||
| for (int i = 0; i < size; i++) | ||
| values[i] = i; | ||
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| Drawdown drawdown = new Drawdown(values, dates); | ||
| // Every new value is a new peak, so there never is a drawdown and | ||
| // therefore the magnitude is 0 | ||
| assertThat(drawdown.getMaxDrawdown(), is(0d)); | ||
| // Drawdown duration is the longest duration between peaks. Every value | ||
| // is a peak, so 1 day is every time the duration. The fact that there | ||
| // is never a drawdown does not negate the duration | ||
| assertThat(drawdown.getMaxDrawdownDuration().getDays(), is(1l)); | ||
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| drawdown = new Drawdown(new double[] { 1, 1, -0.5, 1, 1, 2, 3, 4, 5, 6 }, dates); | ||
| // the drawdown is from 2 to 0.5 which is 1.5 or 75% of 2 | ||
| assertThat(drawdown.getMaxDrawdown(), is(0.75d)); | ||
| // the first peak is the first 2. The second 2 is not a peak, the next | ||
| // peak is the 3, which is 5 days later | ||
| assertThat(drawdown.getMaxDrawdownDuration().getDays(), is(5l)); | ||
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| drawdown = new Drawdown(new double[] { 0, 0.1, 0.2, -1.4 }, getDates(4)); | ||
| // The drawdown is from 1.2 to -0.4 or 1.6, which is 4/3 from 1.2 | ||
| assertThat(drawdown.getMaxDrawdown(), closeTo(4d / 3, 0.1e-10)); | ||
| } | ||
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| @Test | ||
| public void testVolatility() | ||
| { | ||
| double[] delta = new double[] { 0.5, -1 / 3d, -0.5, 1, 1, -0.5 }; | ||
| Volatility volatility = new Volatility(getDates(delta.length), delta, 0, d -> true); | ||
| // returns are 0.5, -1/3, -0.5, 1, 1, -0.5 with an average of 7/36 | ||
| // the deviation from the average is 11/36 for 0.5, 19/36 for -1/3 and | ||
| // so on each of these deviations is squared and the sum divided by the | ||
| // number of returns (6) the resulting division is | ||
| // root((121+1250+1682+361)/(1296*6)) or 3414/7776 | ||
| assertThat(volatility.getStandardDeviation(), closeTo(Math.sqrt(3414d / 7776), 0.1e-10)); | ||
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| // for semi deviation, only the returns lower than the average are | ||
| // counted so only the -1/3 and the two times -0.5 | ||
| // root((361+1250)/(1296*3)) or 1611/3888 | ||
| assertThat(volatility.getSemiDeviation(), closeTo(Math.sqrt(1611d / 3888), 0.1e-10)); | ||
| } | ||
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| @Test | ||
| public void testVolatilityWithSkip() | ||
| { | ||
| double[] delta = new double[] { 0, 0.5, -1 / 3d, -0.5, 1, 1, -0.5 }; | ||
| Volatility volatility = new Volatility(getDates(delta.length), delta, 1, d -> true); | ||
| assertThat(volatility.getStandardDeviation(), closeTo(Math.sqrt(3414d / 7776), 0.1e-10)); | ||
| assertThat(volatility.getSemiDeviation(), closeTo(Math.sqrt(1611d / 3888), 0.1e-10)); | ||
| } | ||
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| @Test | ||
| public void testVolatilityWithConstantReturns() | ||
| { | ||
| double[] returns = new double[20]; | ||
| Arrays.fill(returns, 0.1); | ||
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| Volatility volatility = new Volatility(getDates(returns.length), returns, 0, d -> true); | ||
| assertThat(volatility.getStandardDeviation(), closeTo(0d, 0.1e-10)); | ||
| assertThat(volatility.getSemiDeviation(), closeTo(0d, 0.1e-10)); | ||
| } | ||
| } |
63 changes: 63 additions & 0 deletions
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name.abuchen.portfolio.tests/src/name/abuchen/portfolio/snapshot/PerformanceIndexTest.java
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| package name.abuchen.portfolio.snapshot; | ||
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| import static org.hamcrest.number.IsCloseTo.closeTo; | ||
| import static org.junit.Assert.assertThat; | ||
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| import java.util.Date; | ||
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| import name.abuchen.portfolio.math.RiskTest; | ||
| import name.abuchen.portfolio.model.Client; | ||
| import name.abuchen.portfolio.util.Dates; | ||
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| import org.junit.Test; | ||
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| @SuppressWarnings("nls") | ||
| public class PerformanceIndexTest | ||
| { | ||
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| private final class PerformanceIndexStub extends PerformanceIndex | ||
| { | ||
| private PerformanceIndexStub(Date[] dates, long[] totals, double[] delta) | ||
| { | ||
| super(new Client(), new ReportingPeriod.LastX(1, 0)); | ||
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| this.dates = dates; | ||
| this.totals = totals; | ||
| this.delta = delta; | ||
| } | ||
| } | ||
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| /** | ||
| * Companion test for basic volatility {@link RiskTest#testVolatility()} | ||
| */ | ||
| @Test | ||
| public void testVolatilityFromPerformanceIndex() | ||
| { | ||
| Date[] dates = new Date[] { Dates.date("2015-02-02"), Dates.date("2015-02-03"), Dates.date("2015-02-04"), | ||
| Dates.date("2015-02-05"), Dates.date("2015-02-06"), Dates.date("2015-02-07") /* weekend */, | ||
| Dates.date("2015-02-08") /* weekend */, Dates.date("2015-02-09"), Dates.date("2015-02-10") }; | ||
| long[] totals = new long[] { 1000, 1500, 1000, 500, 1000, 1000, 1000, 2000, 1000 }; | ||
| double[] delta = new double[] { 0, 0.5, -1 / 3d, -0.5, 1, 0, 0, 1, -0.5 }; | ||
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| PerformanceIndex index = new PerformanceIndexStub(dates, totals, delta); | ||
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| assertThat(index.getVolatility().getStandardDeviation(), closeTo(Math.sqrt(3414d / 7776), 0.1e-10)); | ||
| assertThat(index.getVolatility().getSemiDeviation(), closeTo(Math.sqrt(1611d / 3888), 0.1e-10)); | ||
| } | ||
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| @Test | ||
| public void testVolatilityWithFirstDataPointLater() | ||
| { | ||
| Date[] dates = new Date[] { Dates.date("2015-02-02"), Dates.date("2015-02-03"), Dates.date("2015-02-04"), | ||
| Dates.date("2015-02-05"), Dates.date("2015-02-06"), Dates.date("2015-02-07") /* weekend */, | ||
| Dates.date("2015-02-08") /* weekend */, Dates.date("2015-02-09"), Dates.date("2015-02-10"), | ||
| Dates.date("2015-02-11"), Dates.date("2015-02-12") }; | ||
| long[] totals = new long[] { 0, 0, 1000, 1500, 1000, 1000, 1000, 500, 1000, 2000, 1000 }; | ||
| double[] delta = new double[] { 0, 0, 0, 0.5, -1 / 3d, 0, 0, -0.5, 1, 1, -0.5 }; | ||
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| PerformanceIndex index = new PerformanceIndexStub(dates, totals, delta); | ||
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| assertThat(index.getVolatility().getStandardDeviation(), closeTo(Math.sqrt(3414d / 7776), 0.1e-10)); | ||
| assertThat(index.getVolatility().getSemiDeviation(), closeTo(Math.sqrt(1611d / 3888), 0.1e-10)); | ||
| } | ||
| } |
47 changes: 47 additions & 0 deletions
47
name.abuchen.portfolio.tests/src/name/abuchen/portfolio/util/TradeCalendarTest.java
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| package name.abuchen.portfolio.util; | ||
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| import static org.hamcrest.CoreMatchers.is; | ||
| import static org.junit.Assert.assertThat; | ||
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| import org.junit.Test; | ||
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| @SuppressWarnings("nls") | ||
| public class TradeCalendarTest | ||
| { | ||
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| @Test | ||
| public void testEasterHolidays() | ||
| { | ||
| TradeCalendar calendar = new TradeCalendar(); | ||
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| assertThat(calendar.isHoldiay(Dates.date("2015-04-02")), is(false)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-04-03")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-04-04")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-04-05")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-04-06")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-04-07")), is(false)); | ||
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| assertThat(calendar.isHoldiay(Dates.date("2016-03-25")), is(true)); | ||
| } | ||
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| @Test | ||
| public void testWeekends() | ||
| { | ||
| TradeCalendar calendar = new TradeCalendar(); | ||
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| assertThat(calendar.isHoldiay(Dates.date("2015-01-31")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-02-01")), is(true)); | ||
| } | ||
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| @Test | ||
| public void testFixedPublicHolidays() | ||
| { | ||
| TradeCalendar calendar = new TradeCalendar(); | ||
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| assertThat(calendar.isHoldiay(Dates.date("2015-01-01")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-05-01")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-12-24")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-12-25")), is(true)); | ||
| assertThat(calendar.isHoldiay(Dates.date("2015-12-26")), is(true)); | ||
| } | ||
| } |
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