wehub-resource-sync
57 lines
1.8 KiB
C#
57 lines
1.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System.Collections.Generic;
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// One k-means cluster of backtests in standardized parameter space.
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/// </summary>
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public class Cluster
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{
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/// <summary>
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/// Cluster centroid in original parameter units.
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/// </summary>
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public IReadOnlyDictionary<string, decimal> Centroid { get; set; }
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/// <summary>
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/// Number of backtests assigned to this cluster.
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/// </summary>
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public int MemberCount { get; set; }
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/// <summary>
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/// Mean Sharpe ratio across the cluster's members.
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/// </summary>
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public decimal SharpeMean { get; set; }
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/// <summary>
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/// Sample standard deviation of Sharpe ratios within this cluster.
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/// </summary>
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public decimal SharpeStdDev { get; set; }
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/// <summary>
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/// Minimum Sharpe ratio within this cluster.
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/// </summary>
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public decimal SharpeMin { get; set; }
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/// <summary>
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/// Maximum Sharpe ratio within this cluster.
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/// </summary>
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public decimal SharpeMax { get; set; }
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}
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}
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