wehub-resource-sync
79 lines
2.6 KiB
C#
79 lines
2.6 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 Newtonsoft.Json;
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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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/// Sensitivity report for a single optimized parameter.
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/// </summary>
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public class ParameterReport
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{
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/// <summary>
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/// Parameter name.
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/// </summary>
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public string Name { get; set; }
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/// <summary>
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/// Lower bound of the parameter sweep.
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/// </summary>
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public decimal SearchedMin { get; set; }
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/// <summary>
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/// Upper bound of the parameter sweep.
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/// </summary>
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public decimal SearchedMax { get; set; }
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/// <summary>
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/// Sweep step size; null when not provided in the optimization configuration.
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/// </summary>
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[JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
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public decimal? Step { get; set; }
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/// <summary>
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/// Mean Sharpe range (max - min) across every 1-D slice.
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/// </summary>
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public decimal MeanWithinSliceSharpeRange { get; set; }
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/// <summary>
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/// Maximum Sharpe range (max - min) across every 1-D slice.
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/// </summary>
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public decimal MaxWithinSliceSharpeRange { get; set; }
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/// <summary>
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/// Worst-case Sharpe change between two adjacent grid values, scaled by <see cref="Step"/>.
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/// </summary>
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public decimal MaxAbsDerivativePerStep { get; set; }
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/// <summary>
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/// This parameter's value at the best backtest.
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/// </summary>
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public decimal BestValue { get; set; }
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/// <summary>
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/// True when <see cref="BestValue"/> lies within half a step of <see cref="SearchedMin"/> or <see cref="SearchedMax"/>.
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/// </summary>
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public bool BestAtSearchedEdge { get; set; }
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/// <summary>
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/// One-dimensional slices used for the sensitivity analysis.
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/// </summary>
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public IReadOnlyList<SliceFit> Slices { get; set; }
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}
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}
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