wehub-resource-sync
88 lines
2.9 KiB
C#
88 lines
2.9 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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using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using QuantConnect.Util;
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using System;
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using Newtonsoft.Json.Converters;
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using Newtonsoft.Json.Serialization;
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namespace QuantConnect.Optimizer.Objectives
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{
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/// <summary>
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/// A backtest optimization constraint.
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/// Allows specifying statistical constraints for the optimization, eg. a backtest can't have a DrawDown less than 10%
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/// </summary>
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public class Constraint : Objective
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{
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/// <summary>
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/// The target comparison operation, eg. 'Greater'
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/// </summary>
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[JsonConverter(typeof(StringEnumConverter))]
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public ComparisonOperatorTypes Operator { get; set; }
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/// <summary>
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/// Empty Constraint constructor
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/// </summary>
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public Constraint()
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{
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}
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public Constraint(string target, ComparisonOperatorTypes @operator, decimal? targetValue) : base(target, targetValue)
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{
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Operator = @operator;
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if (!TargetValue.HasValue)
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{
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throw new ArgumentNullException(nameof(targetValue), Messages.Constraint.ConstraintTargetValueNotSpecified);
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}
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}
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/// <summary>
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/// Asserts the constraint is met
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/// </summary>
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public bool IsMet(string jsonBacktestResult)
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{
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if (string.IsNullOrEmpty(jsonBacktestResult))
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{
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throw new ArgumentNullException(nameof(jsonBacktestResult), $"Constraint.IsMet(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
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}
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var token = Objectives.Target.GetTokenInJsonBacktest(jsonBacktestResult, Target);
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if (token == null)
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{
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return false;
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}
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return Operator.Compare(
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token.Value<string>().ToNormalizedDecimal(),
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TargetValue.Value);
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}
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/// <summary>
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/// Pretty representation of a constraint
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/// </summary>
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public override string ToString()
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{
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return $"{Target} '{Operator}' {TargetValue.Value}";
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}
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}
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}
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