def testDrawDown2(self):
helper = drawdown.DrawDownHelper()
dt = datetime.datetime.now()
helper.update(dt, 10, 10)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
dt += datetime.timedelta(minutes=1)
helper.update(dt, 5, 5)
self.assertEqual(helper.getMaxDrawDown(), -0.5)
self.assertEqual(helper.getCurrentDrawDown(), -0.5)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=1))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 4, 4)
self.assertEqual(helper.getMaxDrawDown(), -0.6)
self.assertEqual(helper.getCurrentDrawDown(), -0.6)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=2))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 4, 4)
self.assertEqual(helper.getMaxDrawDown(), -0.6)
self.assertEqual(helper.getCurrentDrawDown(), -0.6)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=3))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 5, 5)
self.assertEqual(helper.getMaxDrawDown(), -0.6)
self.assertEqual(helper.getCurrentDrawDown(), -0.5)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=4))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 9, 9)
self.assertEqual(helper.getMaxDrawDown(), -0.6)
self.assertEqual(helper.getCurrentDrawDown(), -0.1)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=5))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 9.9, 9.9)
self.assertEqual(helper.getMaxDrawDown(), -0.6)
self.assertEqual(round(helper.getCurrentDrawDown(), 2), -0.01)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=6))
dt += datetime.timedelta(minutes=1)
helper.update(dt, 20, 20)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
dt += datetime.timedelta(minutes=1)
helper.update(dt, 10, 10)
self.assertEqual(helper.getMaxDrawDown(), -0.5)
self.assertEqual(helper.getCurrentDrawDown(), -0.5)
self.assertEqual(helper.getDuration(), datetime.timedelta(minutes=1))
def testNoDrawDown2(self):
helper = drawdown.DrawDownHelper()
dt = datetime.datetime.now()
helper.update(dt, 10, 10)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
dt += datetime.timedelta(days=1)
helper.update(dt, 10.01, 10.01)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
dt += datetime.timedelta(days=1)
helper.update(dt, 11, 11)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
def testNoDrawDown1(self):
helper = drawdown.DrawDownHelper()
helper.update(datetime.datetime.now(), 10, 10)
self.assertEqual(helper.getMaxDrawDown(), 0)
self.assertEqual(helper.getCurrentDrawDown(), 0)
self.assertEqual(helper.getDuration(), datetime.timedelta())
