wehub-resource-sync
78 lines
2.9 KiB
C#
78 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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*/
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using Newtonsoft.Json;
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using System.Collections.Generic;
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using System.ComponentModel;
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// Aggregate diagnostic produced by analyzing a completed optimization.
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/// </summary>
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public class OptimizationAnalysis
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{
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/// <summary>
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/// Natural-language interpretation of the analysis produced by a downstream AI consumer; empty until populated.
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/// </summary>
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[DefaultValue("")]
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[JsonProperty(DefaultValueHandling = DefaultValueHandling.Ignore)]
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public string Interpretation { get; set; } = string.Empty;
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/// <summary>
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/// Total number of backtests observed, including failures.
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/// </summary>
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public int BacktestCountTotal { get; set; }
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/// <summary>
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/// Number of backtests used in the analysis after filtering failures.
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/// </summary>
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public int BacktestCountUsed { get; set; }
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/// <summary>
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/// Sharpe ratio statistics across all used backtests.
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/// </summary>
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public SharpeSummary OverallSharpe { get; set; }
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/// <summary>
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/// The best-performing backtest (argmax of Sharpe).
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/// </summary>
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[JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
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public BacktestSummary Best { get; set; }
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/// <summary>
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/// Per-parameter sensitivity report; one entry per optimized parameter.
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/// </summary>
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public IReadOnlyList<ParameterReport> Parameters { get; set; }
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/// <summary>
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/// K-means clusters in standardized parameter space, ordered by mean Sharpe descending.
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/// </summary>
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public IReadOnlyList<Cluster> Clusters { get; set; }
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/// <summary>
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/// Local maxima of the Sharpe surface on the parameter grid, ordered by Sharpe descending.
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/// </summary>
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public IReadOnlyList<Mode> Modes { get; set; }
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/// <summary>
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/// Breakdown of zero-order backtests; null when none exist.
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/// </summary>
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[JsonProperty(NullValueHandling = NullValueHandling.Ignore)]
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public FailedBacktestSummary FailedBacktests { get; set; }
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}
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}
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