Algorithm Sampling and Statistics Fixes (#5936)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Implement scheduled event sampling solution * Use UTC time, only update daily portfolio value once a day * For daily resolutions sample chart always * Cleanup * Drop resample daily all together * Force final sample * Regression updates * FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event * Name the daily sampling event * Address review pt 1 * Drop force and use reference wrapper * Adjust tests * Fix warning for Benchmark Timezone Misalignment and also add test * Fix for daily resolution orders and test adjustments * Also warn on universe settings with daily resolution * Update missed regression * Fix reference wrapper use * Update regression after rebase * Add values back in for Daylight Algo * Have statistics builder skip day 1 performance * Regression adjustments * Test adjustments * Update regression unit test * Adjust some regressions starts to show performance values * Add hourly algorithm for beta comparison * Address missing Python regression changes * Remove null comment
This commit is contained in:
@@ -128,18 +128,18 @@ namespace QuantConnect.Algorithm.CSharp
|
||||
{"Drawdown", "11.000%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Net Profit", "-10.343%"},
|
||||
{"Sharpe Ratio", "-1.554"},
|
||||
{"Probabilistic Sharpe Ratio", "0.001%"},
|
||||
{"Sharpe Ratio", "-1.696"},
|
||||
{"Probabilistic Sharpe Ratio", "0.009%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "-0.91"},
|
||||
{"Beta", "-5.602"},
|
||||
{"Annual Standard Deviation", "0.643"},
|
||||
{"Annual Variance", "0.413"},
|
||||
{"Information Ratio", "-1.378"},
|
||||
{"Tracking Error", "0.736"},
|
||||
{"Treynor Ratio", "0.178"},
|
||||
{"Alpha", "-0.924"},
|
||||
{"Beta", "-5.612"},
|
||||
{"Annual Standard Deviation", "0.587"},
|
||||
{"Annual Variance", "0.345"},
|
||||
{"Information Ratio", "-1.517"},
|
||||
{"Tracking Error", "0.664"},
|
||||
{"Treynor Ratio", "0.177"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$0"},
|
||||
{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
|
||||
|
||||
Reference in New Issue
Block a user