wehub-resource-sync
47 lines
1.7 KiB
C#
47 lines
1.7 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.Collections.Generic;
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namespace QuantConnect.Optimizer
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{
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/// <summary>
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/// One-dimensional cross-section of the parameter space: one parameter varies while every other is held constant.
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/// </summary>
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public class SliceFit
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{
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/// <summary>
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/// Values of the other parameters held constant for this slice.
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/// </summary>
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public IReadOnlyDictionary<string, decimal> FixedParameters { get; set; }
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/// <summary>
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/// Max Sharpe minus min Sharpe across this slice.
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/// </summary>
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public decimal SharpeRange { get; set; }
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/// <summary>
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/// Maximum absolute slope across this slice's linear segments.
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/// </summary>
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public decimal MaxAbsDerivative { get; set; }
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/// <summary>
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/// Piecewise linear pieces of the fit; one per adjacent pair of grid points.
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/// </summary>
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public IReadOnlyList<LinearSegment> Segments { get; set; }
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}
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}
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