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;
+
+namespace QuantConnect.Optimizer
+{
+    /// <summary>
+    /// Sensitivity report for a single optimized parameter.
+    /// </summary>
+    public class ParameterReport
+    {
+        /// <summary>
+        /// Parameter name.
+        /// </summary>
+        public string Name { get; set; }
+
+        /// <summary>
+        /// Lower bound of the parameter sweep.
+        /// </summary>
+        public decimal SearchedMin { get; set; }
+
+        /// <summary>
+        /// Upper bound of the parameter sweep.
+        /// </summary>
+        public decimal SearchedMax { get; set; }
+
+        /// <summary>
+        /// Sweep step size; null when not provided in the optimization configuration.
+        /// </summary>
+        [JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
+        public decimal? Step { get; set; }
+
+        /// <summary>
+        /// Mean Sharpe range (max - min) across every 1-D slice.
+        /// </summary>
+        public decimal MeanWithinSliceSharpeRange { get; set; }
+
+        /// <summary>
+        /// Maximum Sharpe range (max - min) across every 1-D slice.
+        /// </summary>
+        public decimal MaxWithinSliceSharpeRange { get; set; }
+
+        /// <summary>
+        /// Worst-case Sharpe change between two adjacent grid values, scaled by <see cref="Step"/>.
+        /// </summary>
+        public decimal MaxAbsDerivativePerStep { get; set; }
+
+        /// <summary>
+        /// This parameter's value at the best backtest.
+        /// </summary>
+        public decimal BestValue { get; set; }
+
+        /// <summary>
+        /// True when <see cref="BestValue"/> lies within half a step of <see cref="SearchedMin"/> or <see cref="SearchedMax"/>.
+        /// </summary>
+        public bool BestAtSearchedEdge { get; set; }
+
+        /// <summary>
+        /// One-dimensional slices used for the sensitivity analysis.
+        /// </summary>
+        public IReadOnlyList<SliceFit> Slices { get; set; }
+    }
+}