Jhonathan Abreu
8f2a23e97f
* Initial backtest analyzer commit * Changes for cleanup * Minor fix * Add class for analysis result context * Fix more models * More fixes * More fixes * More fixes * More fixes * Cleanup * Cleanup * Add documentation * Cleanup and remove some classes * Write backtest analysis to results file * Cleanup * Minor fixes * Minor fix * Minor cleanup * Implement json deserialization for backtest analysis result * Rename analyzer classes to generalize Remove "backtest" references from names * Add weight to analyses * Run analyses in order by weight * Cleanup * Cleanup * Update Issue text * Set sub-test weights to 0 * Update test weights * Add xml docs * Disable result analysis on regression tests * Refactor analysis naming * Renaming cleanup * Simplify analysis results context * Log when analyzer reaches max tests or time limit * Sample down equity curve to match daily benchmark * Minor changes * Minor fixes --------- Co-authored-by: Derek Melchin <melchin.derek@gmail.com>
54 lines
2.1 KiB
C#
54 lines
2.1 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 QuantConnect.Orders;
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using QuantConnect.Statistics;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Packets
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{
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/// <summary>
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/// Defines the parameters for <see cref="BacktestResult"/>
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/// </summary>
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public class BacktestResultParameters : BaseResultParameters
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{
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/// <summary>
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/// Rolling window detailed statistics.
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/// </summary>
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public Dictionary<string, AlgorithmPerformance> RollingWindow { get; set; }
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/// <summary>
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/// Creates a new instance
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/// </summary>
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public BacktestResultParameters(IDictionary<string, Chart> charts,
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IDictionary<int, Order> orders,
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IDictionary<DateTime, decimal> profitLoss,
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IDictionary<string, string> statistics,
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IDictionary<string, string> runtimeStatistics,
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Dictionary<string, AlgorithmPerformance> rollingWindow,
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List<OrderEvent> orderEvents,
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AlgorithmPerformance totalPerformance = null,
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AlgorithmConfiguration algorithmConfiguration = null,
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IDictionary<string, string> state = null,
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IReadOnlyList<Analysis> analysisResult = null)
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: base(charts, orders, profitLoss, statistics, runtimeStatistics, orderEvents, totalPerformance, algorithmConfiguration, state, analysisResult)
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{
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RollingWindow = rollingWindow;
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}
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}
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}
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