/**
* The MIT License (MIT)
*
* Copyright (c) 2014-2017 Marc de Verdelhan & respective authors (see AUTHORS)
*
* Permission is hereby granted, free of charge, to any person obtaining a copy of
* this software and associated documentation files (the "Software"), to deal in
* the Software without restriction, including without limitation the rights to
* use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of
* the Software, and to permit persons to whom the Software is furnished to do so,
* subject to the following conditions:
*
* The above copyright notice and this permission notice shall be included in all
* copies or substantial portions of the Software.
*
* THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
* IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS
* FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR
* COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER
* IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN
* CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
*/
package eu.verdelhan.ta4j.analysis.criteria;
import eu.verdelhan.ta4j.AnalysisCriterion;
import eu.verdelhan.ta4j.Order;
import eu.verdelhan.ta4j.TATestsUtils;
import eu.verdelhan.ta4j.Trade;
import eu.verdelhan.ta4j.TradingRecord;
import eu.verdelhan.ta4j.mocks.MockTimeSeries;
import static org.junit.Assert.*;
import org.junit.Test;
public class AverageProfitCriterionTest {
private MockTimeSeries series;
@Test
public void calculateOnlyWithGainTrades() {
series = new MockTimeSeries(100d, 105d, 110d, 100d, 95d, 105d);
TradingRecord tradingRecord = new TradingRecord(
Order.buyAt(0), Order.sellAt(2),
Order.buyAt(3), Order.sellAt(5));
AnalysisCriterion averageProfit = new AverageProfitCriterion();
assertEquals(1.0243, TATestsUtils.TA_OFFSET, averageProfit.calculate(series, tradingRecord));
}
@Test
public void calculateWithASimpleTrade() {
series = new MockTimeSeries(100d, 105d, 110d, 100d, 95d, 105d);
TradingRecord tradingRecord = new TradingRecord(Order.buyAt(0), Order.sellAt(2));
AnalysisCriterion averageProfit = new AverageProfitCriterion();
assertEquals(Math.pow(110d/100, 1d/3), averageProfit.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
}
@Test
public void calculateOnlyWithLossTrades() {
series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
TradingRecord tradingRecord = new TradingRecord(
Order.buyAt(0), Order.sellAt(1),
Order.buyAt(2), Order.sellAt(5));
AnalysisCriterion averageProfit = new AverageProfitCriterion();
assertEquals(Math.pow(95d/100 * 70d/100, 1d / 6), averageProfit.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
}
@Test
public void calculateWithNoTicksShouldReturn1() {
series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
AnalysisCriterion averageProfit = new AverageProfitCriterion();
assertEquals(1d, averageProfit.calculate(series, new TradingRecord()), TATestsUtils.TA_OFFSET);
}
@Test
public void calculateWithOneTrade() {
series = new MockTimeSeries(100, 105);
Trade trade = new Trade(Order.buyAt(0), Order.sellAt(1));
AnalysisCriterion average = new AverageProfitCriterion();
assertEquals(Math.pow(105d / 100, 1d/2), average.calculate(series, trade), TATestsUtils.TA_OFFSET);
}
@Test
public void betterThan() {
AnalysisCriterion criterion = new AverageProfitCriterion();
assertTrue(criterion.betterThan(2.0, 1.5));
assertFalse(criterion.betterThan(1.5, 2.0));
}
}