wehub-resource-sync
116 lines
4.6 KiB
C#
116 lines
4.6 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 QuantConnect.Logging;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Packets;
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using QuantConnect.Statistics;
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using System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// Lightweight per-backtest record extracted at <see cref="LeanOptimizer"/> time to avoid retaining the full backtest JSON.
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/// </summary>
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public class OptimizationBacktestMetrics : BacktestSummary
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{
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/// <summary>
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/// The backtest's total performance (wraps <see cref="QuantConnect.Statistics.TradeStatistics"/>,
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/// <see cref="QuantConnect.Statistics.PortfolioStatistics"/>, and <see cref="QuantConnect.Statistics.Trade"/> list); null when absent from the backtest result.
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/// </summary>
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public AlgorithmPerformance TotalPerformance { get; set; }
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/// <summary>
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/// Number of orders the backtest produced.
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/// </summary>
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public int TotalOrders { get; set; }
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/// <summary>
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/// Names of the diagnostic <see cref="QuantConnect.Analysis"/> entries the backtest attached.
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/// </summary>
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public IReadOnlyList<string> AnalysisNames { get; set; }
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/// <summary>
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/// Extracts the fields the analyzer needs from a backtest result JSON; returns null when the parameter set is invalid.
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/// </summary>
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/// <param name="backtestId">The backtest id.</param>
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/// <param name="parameterSet">The parameter set the backtest was run with.</param>
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/// <param name="jsonBacktestResult">The serialized backtest result JSON.</param>
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public static OptimizationBacktestMetrics ExtractFrom(string backtestId, ParameterSet parameterSet, string jsonBacktestResult)
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{
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if (parameterSet == null)
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{
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return null;
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}
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var parameters = ParseParameterSet(parameterSet);
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if (parameters.Count == 0)
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{
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return null;
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}
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BacktestResult parsed = null;
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if (!string.IsNullOrEmpty(jsonBacktestResult))
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{
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try
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{
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// DeserializeJson uses the LEAN-wide JsonSerializer (CamelCaseNamingStrategy + OrderJsonConverter),
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// so polymorphic Orders and camelCase JSON both work without extra configuration.
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parsed = jsonBacktestResult.DeserializeJson<BacktestResult>();
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}
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catch (JsonException ex)
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{
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Log.Error(ex, $"OptimizationBacktestMetrics.ExtractFrom(): failed to parse backtest result for '{backtestId}'");
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}
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}
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var analysisNames = parsed?.Analysis == null
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? (IReadOnlyList<string>)System.Array.Empty<string>()
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: parsed.Analysis
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.Where(a => !string.IsNullOrEmpty(a?.Name))
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.Select(a => a.Name)
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.ToList();
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return new OptimizationBacktestMetrics
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{
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BacktestId = backtestId,
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Parameters = parameters,
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SharpeRatio = parsed?.TotalPerformance?.PortfolioStatistics?.SharpeRatio ?? 0m,
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TotalPerformance = parsed?.TotalPerformance,
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TotalOrders = parsed?.Orders?.Count ?? 0,
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AnalysisNames = analysisNames
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};
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}
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private static Dictionary<string, decimal> ParseParameterSet(ParameterSet parameterSet)
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{
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var result = new Dictionary<string, decimal>();
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if (parameterSet?.Value == null) return result;
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foreach (var kv in parameterSet.Value)
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{
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if (decimal.TryParse(kv.Value, NumberStyles.Any, CultureInfo.InvariantCulture, out var d))
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{
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result[kv.Key] = d;
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}
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}
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return result;
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}
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}
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}
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