/*
* 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 System;
using System.Linq;
using System.Text.RegularExpressions;
using Newtonsoft.Json;
namespace QuantConnect.Optimizer.Objectives
{
///
/// Base class for optimization and
///
public abstract class Objective
{
private readonly Regex _targetTemplate = new Regex("['(.+)']");
private string _target;
///
/// Target; property of json file we want to track
///
public string Target
{
get => _target;
set
{
_target = value != null ? string.Join(".", value.Split('.').Select(s => _targetTemplate.Match(s).Success ? s : $"['{s}']")) : value;
}
}
///
/// Target value
///
/// For if defined and backtest complies with the targets then finish optimization
/// For non optional, the value of the target constraint
public decimal? TargetValue { get; set; }
///
/// Creates a new instance of Objective class
///
protected Objective()
{
}
///
/// Creates a new instance
///
protected Objective(string target, decimal? targetValue)
{
if (string.IsNullOrEmpty(target))
{
throw new ArgumentNullException(nameof(target), Messages.Objective.NullOrEmptyObjective);
}
var objective = target;
if (!objective.Contains('.', StringComparison.InvariantCulture))
{
// default path
objective = $"Statistics.{objective}";
}
// escape empty space in json path
Target = objective;
TargetValue = targetValue;
}
#region Backwards Compatibility
///
/// Target value
///
/// For if defined and backtest complies with the targets then finish optimization
/// For non optional, the value of the target constraint
[JsonProperty("target-value")]
public decimal? OldTargetValue
{
set
{
TargetValue = value;
}
get
{
return TargetValue;
}
}
#endregion
}
}