/*
* 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 QuantConnect.Logging;
using QuantConnect.Optimizer.Parameters;
using QuantConnect.Packets;
using QuantConnect.Statistics;
using System.Collections.Generic;
using System.Globalization;
using System.Linq;
namespace QuantConnect.Optimizer
{
///
/// Lightweight per-backtest record extracted at time to avoid retaining the full backtest JSON.
///
public class OptimizationBacktestMetrics : BacktestSummary
{
///
/// The backtest's total performance (wraps ,
/// , and list); null when absent from the backtest result.
///
public AlgorithmPerformance TotalPerformance { get; set; }
///
/// Number of orders the backtest produced.
///
public int TotalOrders { get; set; }
///
/// Names of the diagnostic entries the backtest attached.
///
public IReadOnlyList AnalysisNames { get; set; }
///
/// Extracts the fields the analyzer needs from a backtest result JSON; returns null when the parameter set is invalid.
///
/// The backtest id.
/// The parameter set the backtest was run with.
/// The serialized backtest result JSON.
public static OptimizationBacktestMetrics ExtractFrom(string backtestId, ParameterSet parameterSet, string jsonBacktestResult)
{
if (parameterSet == null)
{
return null;
}
var parameters = ParseParameterSet(parameterSet);
if (parameters.Count == 0)
{
return null;
}
BacktestResult parsed = null;
if (!string.IsNullOrEmpty(jsonBacktestResult))
{
try
{
// DeserializeJson uses the LEAN-wide JsonSerializer (CamelCaseNamingStrategy + OrderJsonConverter),
// so polymorphic Orders and camelCase JSON both work without extra configuration.
parsed = jsonBacktestResult.DeserializeJson();
}
catch (JsonException ex)
{
Log.Error(ex, $"OptimizationBacktestMetrics.ExtractFrom(): failed to parse backtest result for '{backtestId}'");
}
}
var analysisNames = parsed?.Analysis == null
? (IReadOnlyList)System.Array.Empty()
: parsed.Analysis
.Where(a => !string.IsNullOrEmpty(a?.Name))
.Select(a => a.Name)
.ToList();
return new OptimizationBacktestMetrics
{
BacktestId = backtestId,
Parameters = parameters,
SharpeRatio = parsed?.TotalPerformance?.PortfolioStatistics?.SharpeRatio ?? 0m,
TotalPerformance = parsed?.TotalPerformance,
TotalOrders = parsed?.Orders?.Count ?? 0,
AnalysisNames = analysisNames
};
}
private static Dictionary ParseParameterSet(ParameterSet parameterSet)
{
var result = new Dictionary();
if (parameterSet?.Value == null) return result;
foreach (var kv in parameterSet.Value)
{
if (decimal.TryParse(kv.Value, NumberStyles.Any, CultureInfo.InvariantCulture, out var d))
{
result[kv.Key] = d;
}
}
return result;
}
}
}