wehub-resource-sync
100 lines
3.3 KiB
C#
100 lines
3.3 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 System;
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using System.Linq;
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using System.Text.RegularExpressions;
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using Newtonsoft.Json;
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namespace QuantConnect.Optimizer.Objectives
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{
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/// <summary>
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/// Base class for optimization <see cref="Objectives.Target"/> and <see cref="Constraint"/>
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/// </summary>
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public abstract class Objective
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{
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private readonly Regex _targetTemplate = new Regex("['(.+)']");
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private string _target;
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/// <summary>
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/// Target; property of json file we want to track
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/// </summary>
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public string Target
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{
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get => _target;
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set
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{
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_target = value != null ? string.Join(".", value.Split('.').Select(s => _targetTemplate.Match(s).Success ? s : $"['{s}']")) : value;
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}
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}
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/// <summary>
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/// Target value
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/// </summary>
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/// <remarks>For <see cref="Objectives.Target"/> if defined and backtest complies with the targets then finish optimization</remarks>
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/// <remarks>For <see cref="Constraint"/> non optional, the value of the target constraint</remarks>
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public decimal? TargetValue { get; set; }
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/// <summary>
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/// Creates a new instance of Objective class
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/// </summary>
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protected Objective()
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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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protected Objective(string target, decimal? targetValue)
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{
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if (string.IsNullOrEmpty(target))
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{
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throw new ArgumentNullException(nameof(target), Messages.Objective.NullOrEmptyObjective);
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}
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var objective = target;
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if (!objective.Contains('.', StringComparison.InvariantCulture))
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{
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// default path
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objective = $"Statistics.{objective}";
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}
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// escape empty space in json path
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Target = objective;
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TargetValue = targetValue;
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}
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#region Backwards Compatibility
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/// <summary>
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/// Target value
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/// </summary>
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/// <remarks>For <see cref="Objectives.Target"/> if defined and backtest complies with the targets then finish optimization</remarks>
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/// <remarks>For <see cref="Constraint"/> non optional, the value of the target constraint</remarks>
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[JsonProperty("target-value")]
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public decimal? OldTargetValue
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{
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set
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{
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TargetValue = value;
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}
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get
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{
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return TargetValue;
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}
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}
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#endregion
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}
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}
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