Add Tests for MaximumDrawdownPercentPortfolio (#8096)

* First draft of the solution

* Add more unit tests

Tests/Algorithm/Framework/Risk/MaximumDrawdownPercentPortfolioTests.cs

@@ -0,0 +1,155 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using Moq;
+using NUnit.Framework;
+using Python.Runtime;
+using QuantConnect.Algorithm;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Equity;
+using System.Linq;
+
+namespace QuantConnect.Tests.Algorithm.Framework.Risk
+{
+    [TestFixture]
+    public class MaximumDrawdownPercentPortfolioTests
+    {
+        [Test]
+        [TestCase(Language.CSharp, false, 0, false)]
+        [TestCase(Language.CSharp, true, -1000, false)]
+        [TestCase(Language.CSharp, true, -10000, false)]
+        [TestCase(Language.CSharp, true, -10001, true)]
+        [TestCase(Language.Python, false, 0, false)]
+        [TestCase(Language.Python, true, -1000, false)]
+        [TestCase(Language.Python, true, -10000, false)]
+        [TestCase(Language.Python, true, -10001, true)]
+        public void ReturnsExpectedPortfolioTarget(
+            Language language,
+            bool invested,
+            decimal absoluteHoldingsCost,
+            bool shouldLiquidate)
+        {
+            var algorithm = CreateAlgorithm(language, 0.1m);
+            var targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
+            Assert.AreEqual(0, targets.Count);
+
+            algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, invested, absoluteHoldingsCost));
+            algorithm.Portfolio.InvalidateTotalPortfolioValue();
+            targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10)}).ToList();
+
+            if (shouldLiquidate)
+            {
+                Assert.AreEqual(1, targets.Count);
+                Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
+                Assert.AreEqual(0, targets[0].Quantity);
+            }
+            else
+            {
+                Assert.AreEqual(0, targets.Count);
+            }
+        }
+
+        [TestCase(Language.CSharp)]
+        [TestCase(Language.Python)]
+        public void ReturnsExpectedPortfolioTargetsAfterReset(Language language)
+        {
+            var algorithm = CreateAlgorithm(language, 0.1m);
+            var targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
+            algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, true, -10001));
+            algorithm.Portfolio.InvalidateTotalPortfolioValue();
+            targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
+
+            Assert.AreEqual(1, targets.Count);
+            Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
+            Assert.AreEqual(0, targets[0].Quantity);
+
+            algorithm.Securities.Add(Symbols.AAPL, GetSecurity(Symbols.AAPL, true, 10001));
+            targets = algorithm.RiskManagement.ManageRisk(algorithm, new PortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) }).ToList();
+            Assert.AreEqual(0, targets.Count);
+        }
+
+        [TestCase(Language.CSharp)]
+        [TestCase(Language.Python)]
+        public void ReturnsMoreThanOnePortfolioTarget(Language language)
+        {
+            var targetSymbols = new PortfolioTarget[] {
+                new PortfolioTarget(Symbols.AAPL, 10),
+                new PortfolioTarget(Symbols.SPY, 100),
+                new PortfolioTarget(Symbols.MSFT, 1000),
+                new PortfolioTarget(Symbols.GOOG, 10000),
+                new PortfolioTarget(Symbols.IBM, 100000)};
+
+            var algorithm = CreateAlgorithm(language, 0.1m);
+            var returnedTargets = algorithm.RiskManagement.ManageRisk(algorithm, targetSymbols).ToList();
+
+            targetSymbols.ToList().ForEach(x => algorithm.Securities.Add(x.Symbol, GetSecurity( x.Symbol, true, -x.Quantity)));
+            algorithm.Portfolio.InvalidateTotalPortfolioValue();
+            returnedTargets = algorithm.RiskManagement.ManageRisk(algorithm, targetSymbols).ToList();
+
+            Assert.AreEqual(targetSymbols.Length, returnedTargets.Count);
+            Assert.AreEqual(targetSymbols.Select(x => x.Symbol), returnedTargets.Select(x => x.Symbol));
+            Assert.IsTrue(returnedTargets.All(x => x.Quantity == 0));
+        }
+
+        private QCAlgorithm CreateAlgorithm(Language language, decimal maxDrawdownPercent)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SetPandasConverter();
+
+            if (language == Language.Python)
+            {
+                using (Py.GIL())
+                {
+                    const string name = nameof(MaximumDrawdownPercentPortfolio);
+                    var instance = Py.Import(name).GetAttr(name).Invoke(maxDrawdownPercent.ToPython());
+                    var model = new RiskManagementModelPythonWrapper(instance);
+                    algorithm.SetRiskManagement(model);
+                }
+            }
+            else
+            {
+                var model = new MaximumDrawdownPercentPortfolio(maxDrawdownPercent);
+                algorithm.SetRiskManagement(model);
+            }
+
+            return algorithm;
+        }
+
+        private Security GetSecurity(Symbol symbol, bool invested, decimal absoluteHoldingsCost)
+        {
+            // Add security
+            var security = new Mock<Equity>(
+                symbol,
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                new Cash(Currencies.USD, 0, 1),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache(),
+                Exchange.UNKNOWN
+            );
+            var holding = new Mock<EquityHolding>(security.Object,
+                new IdentityCurrencyConverter(Currencies.USD));
+            holding.Setup(m => m.Invested).Returns(invested);
+            holding.Setup(m => m.HoldingsValue).Returns(absoluteHoldingsCost);
+
+            security.Object.Holdings = holding.Object;
+            return security.Object;
+        }
+    }
+}