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