/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
using QuantConnect.Util;
using System;
using Newtonsoft.Json.Converters;
using Newtonsoft.Json.Serialization;
namespace QuantConnect.Optimizer.Objectives
{
///
/// A backtest optimization constraint.
/// Allows specifying statistical constraints for the optimization, eg. a backtest can't have a DrawDown less than 10%
///
public class Constraint : Objective
{
///
/// The target comparison operation, eg. 'Greater'
///
[JsonConverter(typeof(StringEnumConverter))]
public ComparisonOperatorTypes Operator { get; set; }
///
/// Empty Constraint constructor
///
public Constraint()
{
}
///
/// Creates a new instance
///
public Constraint(string target, ComparisonOperatorTypes @operator, decimal? targetValue) : base(target, targetValue)
{
Operator = @operator;
if (!TargetValue.HasValue)
{
throw new ArgumentNullException(nameof(targetValue), Messages.Constraint.ConstraintTargetValueNotSpecified);
}
}
///
/// Asserts the constraint is met
///
public bool IsMet(string jsonBacktestResult)
{
if (string.IsNullOrEmpty(jsonBacktestResult))
{
throw new ArgumentNullException(nameof(jsonBacktestResult), $"Constraint.IsMet(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
}
var token = Objectives.Target.GetTokenInJsonBacktest(jsonBacktestResult, Target);
if (token == null)
{
return false;
}
return Operator.Compare(
token.Value().ToNormalizedDecimal(),
TargetValue.Value);
}
///
/// Pretty representation of a constraint
///
public override string ToString()
{
return $"{Target} '{Operator}' {TargetValue.Value}";
}
}
}