chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
@@ -0,0 +1,87 @@
+/*
+ * 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 Newtonsoft.Json;
+using Newtonsoft.Json.Linq;
+using QuantConnect.Util;
+using System;
+using Newtonsoft.Json.Converters;
+using Newtonsoft.Json.Serialization;
+
+namespace QuantConnect.Optimizer.Objectives
+{
+    /// <summary>
+    /// A backtest optimization constraint.
+    /// Allows specifying statistical constraints for the optimization, eg. a backtest can't have a DrawDown less than 10%
+    /// </summary>
+    public class Constraint : Objective
+    {
+        /// <summary>
+        /// The target comparison operation, eg. 'Greater'
+        /// </summary>
+        [JsonConverter(typeof(StringEnumConverter))]
+        public ComparisonOperatorTypes Operator { get; set; }
+
+        /// <summary>
+        /// Empty Constraint constructor
+        /// </summary>
+        public Constraint()
+        {
+
+        }
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        public Constraint(string target, ComparisonOperatorTypes @operator, decimal? targetValue) : base(target, targetValue)
+        {
+            Operator = @operator;
+
+            if (!TargetValue.HasValue)
+            {
+                throw new ArgumentNullException(nameof(targetValue), Messages.Constraint.ConstraintTargetValueNotSpecified);
+            }
+        }
+
+        /// <summary>
+        /// Asserts the constraint is met
+        /// </summary>
+        public bool IsMet(string jsonBacktestResult)
+        {
+            if (string.IsNullOrEmpty(jsonBacktestResult))
+            {
+                throw new ArgumentNullException(nameof(jsonBacktestResult), $"Constraint.IsMet(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
+            }
+
+            var token = Objectives.Target.GetTokenInJsonBacktest(jsonBacktestResult, Target);
+            if (token == null)
+            {
+                return false;
+            }
+
+            return Operator.Compare(
+                token.Value<string>().ToNormalizedDecimal(),
+                TargetValue.Value);
+        }
+
+        /// <summary>
+        /// Pretty representation of a constraint
+        /// </summary>
+        public override string ToString()
+        {
+            return $"{Target} '{Operator}' {TargetValue.Value}";
+        }
+    }
+}