Make Target.MoveAhead() case insensitive (#8382)

* First draft of the solution * Try a different approach * Nit change * Add unit tests * Add edge cases * Address requests
QuantConnect · Oct 24, 2024 · d5b2e4d · d5b2e4d
1 parent 828d923
commit d5b2e4d
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Showing 3 changed files with 56 additions and 2 deletions.
diff --git a/Common/Optimizer/Objectives/Constraint.cs b/Common/Optimizer/Objectives/Constraint.cs
@@ -65,7 +65,7 @@ public bool IsMet(string jsonBacktestResult)
                 throw new ArgumentNullException(nameof(jsonBacktestResult), $"Constraint.IsMet(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
             }
 
-            var token = JObject.Parse(jsonBacktestResult).SelectToken(Target);
+            var token = Objectives.Target.GetTokenInJsonBacktest(jsonBacktestResult, Target);
             if (token == null)
             {
                 return false;

diff --git a/Common/Optimizer/Objectives/Target.cs b/Common/Optimizer/Objectives/Target.cs
@@ -76,7 +76,7 @@ public bool MoveAhead(string jsonBacktestResult)
                 throw new ArgumentNullException(nameof(jsonBacktestResult), $"Target.MoveAhead(): {Messages.OptimizerObjectivesCommon.NullOrEmptyBacktestResult}");
             }
 
-            var token = JObject.Parse(jsonBacktestResult).SelectToken(Target);
+            var token = GetTokenInJsonBacktest(jsonBacktestResult, Target);
             if (token == null)
             {
                 return false;
@@ -103,6 +103,31 @@ public void CheckCompliance()
             }
         }
 
+        public static JToken GetTokenInJsonBacktest(string jsonBacktestResult, string target)
+        {
+            var jObject = JObject.Parse(jsonBacktestResult);
+            var path = target.Replace("[", string.Empty, StringComparison.InvariantCultureIgnoreCase)
+                .Replace("]", string.Empty, StringComparison.InvariantCultureIgnoreCase)
+                .Replace("\'", string.Empty, StringComparison.InvariantCultureIgnoreCase).Split(".");
+            JToken token = null;
+            foreach (var key in path)
+            {
+                if (jObject.TryGetValue(key, StringComparison.OrdinalIgnoreCase, out token))
+                {
+                    if (token is not JValue)
+                    {
+                        jObject = token.ToObject<JObject>();
+                    }
+                }
+                else
+                {
+                    return null;
+                }
+            }
+
+            return token;
+        }
+
         private bool IsComplied() => TargetValue.HasValue && Current.HasValue && (TargetValue.Value == Current.Value || Extremum.Better(TargetValue.Value, Current.Value));
     }
 }
diff --git a/Tests/Optimizer/Objectives/TargetTests.cs b/Tests/Optimizer/Objectives/TargetTests.cs
@@ -15,6 +15,7 @@
 */
 
 using Newtonsoft.Json;
+using Newtonsoft.Json.Linq;
 using NUnit.Framework;
 using QuantConnect.Optimizer.Objectives;
 using System;
@@ -138,5 +139,33 @@ public void RoundTrip()
             Assert.AreEqual(origin.Extremum.GetType(), actual.Extremum.GetType());
             Assert.AreEqual(origin.TargetValue, actual.TargetValue);
         }
+
+        [TestCase("['TotalPerformance'].['TradeStatistics'].['ProfitToMaxDrawdownRatio']", "-1")]
+        [TestCase("['totalPerformance'].['tradeStatistics'].['profitToMaxDrawdownRatio']", "-1")]
+        [TestCase("['TotalPerformance'].['TradeStatistics'].['lossRate']", "1")]
+        [TestCase("['totalPerformance'].['tradeStatistics'].['lossRate']", "1")]
+        [TestCase("['Statistics'].['Start Equity']", "100000")]
+        [TestCase("['statistics'].['start equity']", "100000")]
+        [TestCase("['Statistics'].['Sharpe Ratio']", "-5.283")]
+        [TestCase("['statistics'].['sharpe ratio']", "-5.283")]
+        [TestCase("['Statistics'].['Sharp Ratio']", null)]
+        [TestCase("['statistics'].['sharp ratio']", null)]
+        public void TargetMoveAheadIsCaseInsensitive(string target, string expected)
+        {
+            Assert.AreEqual(expected, (Target.GetTokenInJsonBacktest(jsonBacktestResultExample, target))?.Value<string>());
+        }
+
+        private string jsonBacktestResultExample = @"{
+	""totalPerformance"": {
+		""tradeStatistics"": {
+			""lossRate"": ""1"",
+			""profitToMaxDrawdownRatio"": ""-1"",
+		}
+	},
+	""statistics"": {
+		""Start Equity"": ""100000"",
+		""Sharpe Ratio"": ""-5.283"",
+	}
+}";
     }
 }