wehub-resource-sync
65 lines
2.5 KiB
C#
65 lines
2.5 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;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Optimizer.Analysis
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{
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/// <summary>
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/// Counts how many zero-order backtests carry each backtest-level analysis tag; returns null when no zero-order backtests exist.
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/// </summary>
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internal static class OptimizationFailedBacktests
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{
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// Cap on inspected backtests; a rough tally is enough.
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private const int MaxBacktestsToInspect = 10;
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public static FailedBacktestSummary Build(IReadOnlyList<OptimizationBacktestMetrics> backtests)
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{
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if (backtests == null) return null;
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var zeroOrder = backtests.Where(b => b.TotalOrders == 0).ToList();
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if (zeroOrder.Count == 0) return null;
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var sample = zeroOrder.Take(MaxBacktestsToInspect).ToList();
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var nameCount = new Dictionary<string, int>(StringComparer.Ordinal);
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foreach (var backtest in sample)
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{
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// De-dupe per backtest so counts are "backtests carrying the tag", not raw occurrences.
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var seen = new HashSet<string>(StringComparer.Ordinal);
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if (backtest.AnalysisNames != null)
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{
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foreach (var name in backtest.AnalysisNames)
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{
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if (string.IsNullOrEmpty(name)) continue;
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if (!seen.Add(name)) continue;
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nameCount[name] = nameCount.GetValueOrDefault(name, 0) + 1;
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}
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}
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}
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return new FailedBacktestSummary
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{
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ZeroOrderCount = zeroOrder.Count,
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InspectedCount = sample.Count,
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AnalysisNameCounts = nameCount
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};
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}
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}
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}
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