VersusBuyAndHoldCriterionTest.java

/**
 * 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
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 * 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 VersusBuyAndHoldCriterionTest {

    @Test
    public void calculateOnlyWithGainTrades() {
        MockTimeSeries series = new MockTimeSeries(100, 105, 110, 100, 95, 105);
        TradingRecord tradingRecord = new TradingRecord(
                Order.buyAt(0), Order.sellAt(2),
                Order.buyAt(3), Order.sellAt(5));

        AnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
        assertEquals(1.10 * 1.05 / 1.05, buyAndHold.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
    }

    @Test
    public void calculateOnlyWithLossTrades() {
        MockTimeSeries 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 buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
        assertEquals(0.95 * 0.7 / 0.7, buyAndHold.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
    }
    
    @Test
    public void calculateWithOnlyOneTrade() {
        MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 70);
        Trade trade = new Trade(Order.buyAt(0), Order.sellAt(1));

        AnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
        assertEquals((100d / 70) / (100d / 95), buyAndHold.calculate(series, trade), TATestsUtils.TA_OFFSET);
    }

    @Test
    public void calculateWithNoTrades() {
        MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 70);

        AnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
        assertEquals(1 / 0.7, buyAndHold.calculate(series, new TradingRecord()), TATestsUtils.TA_OFFSET);
    }

    @Test
    public void calculateWithAverageProfit() {
        MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 130);
        TradingRecord tradingRecord = new TradingRecord(
                Order.buyAt(0), Order.sellAt(1),
                Order.buyAt(2), Order.sellAt(5));

        AnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new AverageProfitCriterion());
        
        assertEquals(Math.pow(95d/100 * 130d/100, 1d/6) / Math.pow(130d / 100, 1d/6), buyAndHold.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
    }

    @Test
    public void calculateWithNumberOfTicks() {
        MockTimeSeries series = new MockTimeSeries(100, 95, 100, 80, 85, 130);
        TradingRecord tradingRecord = new TradingRecord(
                Order.buyAt(0), Order.sellAt(1),
                Order.buyAt(2), Order.sellAt(5));

        AnalysisCriterion buyAndHold = new VersusBuyAndHoldCriterion(new NumberOfTicksCriterion());
        
        assertEquals(6d/6d, buyAndHold.calculate(series, tradingRecord), TATestsUtils.TA_OFFSET);
    }

    @Test
    public void betterThan() {
        AnalysisCriterion criterion = new VersusBuyAndHoldCriterion(new TotalProfitCriterion());
        assertTrue(criterion.betterThan(2.0, 1.5));
        assertFalse(criterion.betterThan(1.5, 2.0));
    }
}