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Refactor alpha statistics phase I (#7055)
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* Refactor alpha statistics

- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
  algorithms

* Optimization backtest result json converter update

* Address reviews

- Remove IAlphaHandler, move insight storage responsability to IResultHandler
  and centralizing insight collection on the QCAlgorithm.Insights to be
  reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
  sampling handling. Updating regression algorithms

* Add InsightCollection tests and minor fixes

* Adding more & improved tests
This commit is contained in:
Martin-Molinero
2023-03-10 13:12:23 -03:00
committed by GitHub
parent 4c909f33b9
commit bbbab6d9a8
445 changed files with 1359 additions and 5677 deletions
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Algorithm.CSharp/CustomDataUsingMapFileRegressionAlgorithm.cs
+1 -8
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@@ -153,14 +153,7 @@ namespace QuantConnect.Algorithm.CSharp
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
{"Return Over Maximum Drawdown", "-9.481"},
{"Portfolio Turnover", "0.249"},
{"Total Insights Generated", "0"},
{"Total Insights Closed", "0"},
{"Total Insights Analysis Completed", "0"},
{"Long Insight Count", "0"},
{"Short Insight Count", "0"},
{"Long/Short Ratio", "100%"},
{"Portfolio Turnover", "16.62%"},
{"OrderListHash", "d4cf2839e74df7fa436e30f44be4cb57"}
};