wehub-resource-sync
134 lines
4.3 KiB
C#
134 lines
4.3 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 Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using System;
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namespace QuantConnect.Optimizer.Objectives
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{
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/// <summary>
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/// The optimization statistical target
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/// </summary>
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public class Target: Objective
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{
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/// <summary>
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/// Defines the direction of optimization, i.e. maximization or minimization
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/// </summary>
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public Extremum Extremum { get; set; }
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/// <summary>
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/// Current value
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/// </summary>
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[JsonIgnore]
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public decimal? Current { get; private set; }
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/// <summary>
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/// Fires when target complies specified value
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/// </summary>
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public event EventHandler Reached;
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public Target(string target, Extremum extremum, decimal? targetValue): base(target, targetValue)
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{
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Extremum = extremum;
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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 Target()
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{
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}
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/// <summary>
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/// Pretty representation of this optimization target
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/// </summary>
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public override string ToString()
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{
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return Messages.Target.ToString(this);
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}
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/// <summary>
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/// Check backtest result
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/// </summary>
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/// <param name="jsonBacktestResult">Backtest result json</param>
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/// <returns>true if found a better solution; otherwise false</returns>
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public bool MoveAhead(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), $"Target.MoveAhead(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
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}
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var token = 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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var computedValue = token.Value<string>().ToNormalizedDecimal();
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if (!Current.HasValue || Extremum.Better(Current.Value, computedValue))
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{
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Current = computedValue;
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return true;
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}
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return false;
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}
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/// <summary>
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/// Try comply target value
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/// </summary>
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public void CheckCompliance()
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{
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if (IsComplied())
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{
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Reached?.Invoke(this, EventArgs.Empty);
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}
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}
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public static JToken GetTokenInJsonBacktest(string jsonBacktestResult, string target)
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{
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var jObject = JObject.Parse(jsonBacktestResult);
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var path = target.Replace("[", string.Empty, StringComparison.InvariantCultureIgnoreCase)
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.Replace("]", string.Empty, StringComparison.InvariantCultureIgnoreCase)
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.Replace("\'", string.Empty, StringComparison.InvariantCultureIgnoreCase).Split(".");
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JToken token = null;
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foreach (var key in path)
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{
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if (jObject.TryGetValue(key, StringComparison.OrdinalIgnoreCase, out token))
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{
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if (token is not JValue)
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{
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jObject = token.ToObject<JObject>();
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}
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}
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else
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{
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return null;
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}
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}
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return token;
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}
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private bool IsComplied() => TargetValue.HasValue && Current.HasValue && (TargetValue.Value == Current.Value || Extremum.Better(TargetValue.Value, Current.Value));
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}
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}
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