Algorithm Sampling and Statistics Fixes (#5936)
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:
Colton Sellers
2021-10-05 15:31:25 -07:00
committed by GitHub
parent 659735946a
commit d2d99b1f10
165 changed files with 1732 additions and 1461 deletions
@@ -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"},