8 Commits

Author	SHA1	Message	Date
Martin Molinero	168fb98e20	Fix Turnover Ratio for Futures/CFDs ... - `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
Martin Molinero	c015d4ca1f	Add Fitness Score ... - Adding new `FitnessScore`, score of the strategys performance, and suitability for the Alpha Stream Market	2019-06-03 15:10:18 -03:00
Martin Molinero	412eccebc9	Address reviews ... - Revert charting rouding - Add statistics rouding - Json converter will ignore null order values - Remove `type` field in `Symbol` json - Add default type value for the `TimeInForceJsonConverter`	2019-04-30 11:45:07 -03:00
Michael Handschuh	94bfaf115b	Compute net profit even if no trades ... In live mode it is very possible for a deployment to not have any closed trades but still experience a profit (or loss) due to pre-existig holdings. Additionally, this changes backtesting statistics for all backtests that did not close a single position.	2017-11-07 15:13:20 -05:00
Stefano Raggi	84555a80ad	Fix AlgorithmPerformance property setters for JSON deserialization ... AlgorithmPerformance, PortfolioStatistics and TradeStatistics had private setters, so JSON deserialization could not populate their properties.	2017-06-26 17:21:48 +02:00
Michael Handschuh	e9e6472dd0	Fixes number overflow in statistics generation	2016-03-31 20:00:45 -04:00
Stefano Raggi	dfcdcf58cc	Added check for division by zero in CompoundingAnnualPerformance	2015-10-24 23:41:24 +02:00
Stefano Raggi	fac6f46a9a	New Statistics implementation ... Added Trade and TradeBuilder classes Added UtcTime and OrderFee property to OrderEvent class Added AlgorithmPerformance class with a few metrics + tests Added portfolio statistics + rolling statistics Closes #30 via PR #164 Thanks @SteffanoRaggi!	2015-09-16 20:48:02 -04:00