nt8-sdk/tests/NT8.Core.Tests/Analytics/OptimizationTests.cs

using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using NT8.Core.Analytics;
using NT8.Core.Common.Models;
using NT8.Core.Intelligence;
using NT8.Core.Logging;

namespace NT8.Core.Tests.Analytics
{
    [TestClass]
    public class OptimizationTests
    {
        [TestMethod]
        public void ParameterOptimizer_OptimizeParameter_ReturnsResult()
        {
            var target = new ParameterOptimizer(new BasicLogger("OptimizationTests"));
            var result = target.OptimizeParameter("test", new List<double> { 1, 2, 3 }, Trades());
            Assert.IsNotNull(result);
            Assert.AreEqual("test", result.ParameterName);
        }

        [TestMethod]
        public void ParameterOptimizer_GridSearch_ReturnsResult()
        {
            var target = new ParameterOptimizer(new BasicLogger("OptimizationTests"));
            var p = new Dictionary<string, List<double>>();
            p.Add("a", new List<double> { 1, 2 });
            p.Add("b", new List<double> { 3, 4 });
            var result = target.GridSearch(p, Trades());
            Assert.IsTrue(result.MetricsByCombination.Count > 0);
        }

        [TestMethod]
        public void ParameterOptimizer_WalkForward_ReturnsResult()
        {
            var target = new ParameterOptimizer(new BasicLogger("OptimizationTests"));
            var cfg = new StrategyConfig("S", "ES", new Dictionary<string, object>(), new RiskConfig(1000, 500, 5, true), new SizingConfig(SizingMethod.FixedContracts, 1, 5, 200, new Dictionary<string, object>()));
            var bars = Bars();
            var result = target.WalkForwardTest(cfg, bars);
            Assert.IsNotNull(result);
        }

        [TestMethod]
        public void MonteCarlo_Simulate_ReturnsDistribution()
        {
            var target = new MonteCarloSimulator(new BasicLogger("OptimizationTests"));
            var result = target.Simulate(Trades(), 100, 20);
            Assert.AreEqual(100, result.FinalPnLDistribution.Count);
        }

        [TestMethod]
        public void MonteCarlo_RiskOfRuin_InRange()
        {
            var target = new MonteCarloSimulator(new BasicLogger("OptimizationTests"));
            var r = target.CalculateRiskOfRuin(Trades(), 50.0);
            Assert.IsTrue(r >= 0.0 && r <= 1.0);
        }

        [TestMethod]
        public void MonteCarlo_ConfidenceInterval_ReturnsBounds()
        {
            var target = new MonteCarloSimulator(new BasicLogger("OptimizationTests"));
            var result = target.Simulate(Trades(), 100, 20);
            var ci = target.CalculateConfidenceInterval(result, 0.95);
            Assert.IsTrue(ci.UpperBound >= ci.LowerBound);
        }

        [TestMethod]
        public void PortfolioOptimizer_OptimizeAllocation_ReturnsWeights()
        {
            var target = new PortfolioOptimizer(new BasicLogger("OptimizationTests"));
            var result = target.OptimizeAllocation(Strategies());
            Assert.IsTrue(result.Allocation.Count > 0);
        }

        [TestMethod]
        public void PortfolioOptimizer_RiskParity_ReturnsWeights()
        {
            var target = new PortfolioOptimizer(new BasicLogger("OptimizationTests"));
            var weights = target.RiskParityAllocation(Strategies());
            Assert.IsTrue(weights.Count > 0);
        }

        [TestMethod]
        public void PortfolioOptimizer_Sharpe_Computes()
        {
            var target = new PortfolioOptimizer(new BasicLogger("OptimizationTests"));
            var s = Strategies();
            var a = new Dictionary<string, double>();
            a.Add("A", 0.5);
            a.Add("B", 0.5);
            var sharpe = target.CalculatePortfolioSharpe(a, s);
            Assert.IsTrue(sharpe >= 0.0 || sharpe < 0.0);
        }

        [TestMethod] public void MonteCarlo_InvalidConfidence_Throws() { var t = new MonteCarloSimulator(new BasicLogger("OptimizationTests")); var r = t.Simulate(Trades(), 20, 10); Assert.ThrowsException<ArgumentException>(() => t.CalculateConfidenceInterval(r, 1.0)); }
        [TestMethod] public void ParameterOptimizer_NullTrades_Throws() { var t = new ParameterOptimizer(new BasicLogger("OptimizationTests")); Assert.ThrowsException<ArgumentNullException>(() => t.OptimizeParameter("x", new List<double> { 1 }, null)); }
        [TestMethod] public void PortfolioOptimizer_NullStrategies_Throws() { var t = new PortfolioOptimizer(new BasicLogger("OptimizationTests")); Assert.ThrowsException<ArgumentNullException>(() => t.OptimizeAllocation(null)); }

        private static List<TradeRecord> Trades()
        {
            var list = new List<TradeRecord>();
            for (var i = 0; i < 30; i++)
            {
                var t = new TradeRecord();
                t.TradeId = i.ToString();
                t.Symbol = "ES";
                t.StrategyName = i % 2 == 0 ? "A" : "B";
                t.EntryTime = DateTime.UtcNow.AddMinutes(i);
                t.ExitTime = DateTime.UtcNow.AddMinutes(i + 1);
                t.Side = OrderSide.Buy;
                t.Quantity = 1;
                t.EntryPrice = 100;
                t.ExitPrice = 101;
                t.RealizedPnL = i % 3 == 0 ? -10 : 15;
                t.Grade = TradeGrade.B;
                t.RiskMode = RiskMode.PCP;
                t.VolatilityRegime = VolatilityRegime.Normal;
                t.TrendRegime = TrendRegime.Range;
                t.StopTicks = 8;
                t.TargetTicks = 16;
                t.Duration = TimeSpan.FromMinutes(1);
                list.Add(t);
            }
            return list;
        }

        private static List<BarData> Bars()
        {
            var list = new List<BarData>();
            for (var i = 0; i < 20; i++)
            {
                list.Add(new BarData("ES", DateTime.UtcNow.AddMinutes(i), 100 + i, 101 + i, 99 + i, 100.5 + i, 1000, TimeSpan.FromMinutes(1)));
            }
            return list;
        }

        private static List<StrategyPerformance> Strategies()
        {
            var a = new StrategyPerformance();
            a.StrategyName = "A";
            a.MeanReturn = 1.2;
            a.StdDevReturn = 0.8;
            a.Sharpe = 1.5;
            a.Correlations.Add("B", 0.2);

            var b = new StrategyPerformance();
            b.StrategyName = "B";
            b.MeanReturn = 0.9;
            b.StdDevReturn = 0.7;
            b.Sharpe = 1.28;
            b.Correlations.Add("A", 0.2);

            return new List<StrategyPerformance> { a, b };
        }
    }
}