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Make Target.MoveAhead() case insensitive #8382

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merged 6 commits into from
Oct 24, 2024
Merged

Make Target.MoveAhead() case insensitive #8382

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980fe82
First draft of the solution
Marinovsky Oct 23, 2024
4dbb2d8
Try a different approach
Marinovsky Oct 23, 2024
39ad2a0
Nit change
Marinovsky Oct 23, 2024
c32f34b
Add unit tests
Marinovsky Oct 23, 2024
032c989
Add edge cases
Marinovsky Oct 23, 2024
cb265f8
Address requests
Marinovsky Oct 23, 2024
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2 changes: 1 addition & 1 deletion Common/Optimizer/Objectives/Constraint.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -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;
Expand Down
27 changes: 26 additions & 1 deletion Common/Optimizer/Objectives/Target.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -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;
Expand All @@ -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));
}
}
29 changes: 29 additions & 0 deletions Tests/Optimizer/Objectives/TargetTests.cs
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Expand Up @@ -15,6 +15,7 @@
*/

using Newtonsoft.Json;
using Newtonsoft.Json.Linq;
using NUnit.Framework;
using QuantConnect.Optimizer.Objectives;
using System;
Expand Down Expand Up @@ -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"",
}
}";
}
}
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