4a99eb11c6
Fix regression tests
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- Fix regression tests. Future symbol contains the market which was used
un the order hash list
2020-04-28 16:29:16 -03:00
149d30f020
Fixes and Improvements
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- Removing spaces in MHDB.json file reducing size
- Update tests using wrong future market
2020-04-28 16:29:15 -03:00
6ad123ad8c
Update regression algorithms stats
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- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
2020-04-08 19:31:42 -03:00
499248fe12
Revert "Revert "Adding Support for Equity L1 Quote Data""
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This reverts commit 8cd8d206ca
2020-04-06 10:32:59 -03:00
2a0b73e1cf
Update regression algorithms
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- Update regression algorithms after removing order based insights
2020-04-01 20:37:20 -03:00
486b2e6641
Update regression stats
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- Update expected OrderListHash in regression algorithms due to
serialization improvements
2020-03-31 12:21:13 -03:00
c6767780c2
Update regression test statistics
2020-03-26 18:29:29 -07:00
8cd8d206ca
Revert "Adding Support for Equity L1 Quote Data"
2020-03-11 19:16:05 -07:00
3b25ea4240
Update test after adding the new sample data
2020-03-11 14:34:16 -03:00
0027ab1e66
Regression test assert order list hash
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- Regression tests assert order list hash value
- Normalizing some regression test behavior that had differences between
C# and Py
2020-02-19 20:26:12 -03:00
f6d7e5fcd7
Addresses Peer-Review
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- Standarizes basic template algorithms for options and futures
- Fix typo
2020-02-12 22:28:45 +00:00
9690acfd25
Changes Basic Template Algorithms With Options and Futures to Show The New Overloads
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Keeps the original overloads in the comments.
2020-02-12 16:49:44 +00:00
85f5b68972
Address reviews
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- Revert `OptionMarginModel` behavior change
- Renames
- Refactor future intraday margin modelling
2020-02-04 18:41:15 -03:00
9172bf0ed2
Addresses Peer-Review
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The `AlphaStreamsBrokerageModel` was unnecesarily duplicating the `GetBuyingPowerModel` from the base class. Missing docs were added.
2020-01-21 15:52:54 +00:00
63bd501306
Adds InitialMarginRequirement and MaintenanceMarginRequirement Properties to FutureMarginModel
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These properties expose the current margin requirements that can be used to compute the number of contracts manually.
2020-01-20 22:49:03 +00:00
61aa0d3a65
Updates regression statistics
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Please note that with these changes, any algorithms that
use daily data exclusively will have incorrect statistics.
2020-01-16 14:03:54 -08:00
4439a070fa
Address reviews
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- Will use a deannualized sharpe ratio of 1 as benchmark
2019-10-21 20:21:26 -03:00
324556db62
Add ProbabilisticSharpeRatio
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- Add `ProbabilisticSharpeRatio` to `PortfolioStatistics`
- `Probabilistic Sharpe Ratio` will be added to the `RunTimeStatistics`
sent by the `ResultHandlers`
- Making `TradeBuilder.ClosedTrades` thread safe since its accessed by
the `ResultHandlers`
- Removing `:` from live runtime statistics
- Adding unit tests
2019-10-21 15:54:42 -03:00
2f4929e685
Update regression algorithms
2019-09-29 21:50:44 -03:00
cb4c574eeb
Adjust algorithms statistics
2019-08-06 21:35:25 -03:00
a4dfa708c5
Address reviews
2019-07-26 20:19:38 -03:00
a79cc16b03
Add Kelly Criterion values
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- New `KellyCriterionManager` will be used by the
`StatisticsInsightManagerExtension` to calculate and update the
`AlphaRuntimeStatistics` with the new Kelly Criterion values, on a daily
basis.
2019-07-26 19:16:36 -03:00
168fb98e20
Fix Turnover Ratio for Futures/CFDs
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- `Futures` and `CFDs` sales value will use `ContractMultiplier` as the
rest of the securities.
- `FitnessScore` values will be truncated, not rounded, to 3 decimal places.
- Reducing code duplication for calculating the
`CompoundingAnnualPerformance`
2019-06-06 20:06:54 -03:00
050bbcaba1
Fix Sortino Ratio
2019-06-03 21:42:45 -03:00
9e493f16a4
Annualize downside returns
2019-06-03 19:49:23 -03:00
61db544817
Address reviews
2019-06-03 15:10:19 -03:00
61bab7439b
Address reviews
2019-06-03 15:10:18 -03:00
c015d4ca1f
Add Fitness Score
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- Adding new `FitnessScore`, score of the strategys performance, and
suitability for the Alpha Stream Market
2019-06-03 15:10:18 -03:00
5ddcf12428
Remove order event logging in BasicTemplateFuturesAlgorithm
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Regression run time is now about 50% less
2019-03-14 12:03:41 +01:00
a4cd0a8412
Use bid/ask price to calculate the unrealized profit
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In `SecurityHolding.TotalCloseProfit`, use the market order direction to define whether ithe method should use the bid or the ask to compute unrealized profit.
- Fix statistics of futures' algorithms.
- Adds unit test.
2018-09-21 20:32:14 +01:00
c0b33daa3b
BasicTemplateFuturesAlgorithm statistics updated.
2018-09-06 13:31:08 -03:00
380caa5203
Add IRegressionAlgorithmDefinition.CanRunLocally
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This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
2018-07-18 15:57:11 -04:00
ae99f7b9a1
Add Python version
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Add comments to `IRegressionAlgorithmDefinition` members.
2018-07-17 18:01:53 -03:00
b69d2de337
Adds BasicTemplateFuturesAlgorithm as regression test.
2018-07-17 17:25:49 -03:00
4ebc44de44
Added tags to some C# algorithms
2017-09-19 17:45:04 -04:00
b574707e23
Changed start and end dates of the BasicTemplateFuturesAlgorithm.cs
2017-04-26 12:41:40 -04:00
1141cd21e6
Merge branch 'futures' into master
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Conflicts:
Algorithm.CSharp/QuantConnect.Algorithm.CSharp.csproj
Algorithm/QCAlgorithm.cs
Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs
Common/QuantConnect.csproj
Common/Securities/Option/Option.cs
Data/equity/usa/factor_files/aapl.csv
Data/symbol-properties/symbol-properties-database.csv
Engine/DataFeeds/Enumerators/Factories/BaseDataSubscriptionEnumeratorFactory.cs
Engine/DataFeeds/Enumerators/Factories/OptionChainUniverseSubscriptionEnumeratorFactory.cs
Engine/DataFeeds/SubscriptionDataReader.cs
ToolBox/QuantConnect.ToolBox.csproj
2016-11-07 16:18:11 +01:00
07bb7f60d5
Cosmetic changes in futures sample algo
2016-10-27 11:12:27 +02:00
8494c9e1cf
Added support for futures backtesting
2016-10-13 15:36:05 +02:00
d85b2cf83d
Added support for multiple exchanges in Market.cs and IB files
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Fixed bug with margining
Added options and futures algos that I currently use for tests
2016-10-05 12:02:33 +02:00
7fdf839dd4
Added support for futures nomenclature (standard groups: energy, softs, financials, etc)
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Added symbol properties for that nomenclature
Added IQFeed mapping for that nomenclature
Added basic futures algo class
2016-09-29 21:52:00 +02:00
Martin Molinero