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
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+/*
+ * 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 System.Collections.Generic;
+using System.ComponentModel;
+
+namespace QuantConnect.Optimizer
+{
+    /// <summary>
+    /// Aggregate diagnostic produced by analyzing a completed optimization.
+    /// </summary>
+    public class OptimizationAnalysis
+    {
+        /// <summary>
+        /// Natural-language interpretation of the analysis produced by a downstream AI consumer; empty until populated.
+        /// </summary>
+        [DefaultValue("")]
+        [JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
+        public string Interpretation { get; set; } = string.Empty;
+
+        /// <summary>
+        /// Total number of backtests observed, including failures.
+        /// </summary>
+        public int BacktestCountTotal { get; set; }
+
+        /// <summary>
+        /// Number of backtests used in the analysis after filtering failures.
+        /// </summary>
+        public int BacktestCountUsed { get; set; }
+
+        /// <summary>
+        /// Sharpe ratio statistics across all used backtests.
+        /// </summary>
+        public SharpeSummary OverallSharpe { get; set; }
+
+        /// <summary>
+        /// The best-performing backtest (argmax of Sharpe).
+        /// </summary>
+        [JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
+        public BacktestSummary Best { get; set; }
+
+        /// <summary>
+        /// Per-parameter sensitivity report; one entry per optimized parameter.
+        /// </summary>
+        public IReadOnlyList<ParameterReport> Parameters { get; set; }
+
+        /// <summary>
+        /// K-means clusters in standardized parameter space, ordered by mean Sharpe descending.
+        /// </summary>
+        public IReadOnlyList<Cluster> Clusters { get; set; }
+
+        /// <summary>
+        /// Local maxima of the Sharpe surface on the parameter grid, ordered by Sharpe descending.
+        /// </summary>
+        public IReadOnlyList<Mode> Modes { get; set; }
+
+        /// <summary>
+        /// Breakdown of zero-order backtests; null when none exist.
+        /// </summary>
+        [JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
+        public FailedBacktestSummary FailedBacktests { get; set; }
+    }
+}