Commit Graph

7 Commits

Author SHA1 Message Date
Stefano Raggi 8c248a1165 Fix formatting bug in StatisticsBuilder.GetSummary
This bug was causing regression tests to fail on a machine with non-US regional settings.
2017-06-20 22:10:49 +02:00
Stefano Raggi e052afebba In StatisticsBuilder ensure daily performance has same dates as benchmark performance 2017-02-14 14:34:22 +01:00
AlexCatarino 4158a11367 Fixes Beta (PortfolioStatistics) calculation
In CreateBenchmarkDifference method, a list of values of banchmark daily performance were not created properly. It added an extra zero entry in the beggining of the list and did not include the last day. That caused an one-day lag between the algorithm and benchmark performances.
Reference: [Strange backtester beta results](https://www.quantconnect.com/forum/discussion/1118)

Changes RegressionTests to reflect this correction.
2016-04-22 22:18:11 -03:00
Michael Handschuh e9e6472dd0 Fixes number overflow in statistics generation 2016-03-31 20:00:45 -04:00
Stefano Raggi 96930a1c26 Fixes speed bug in StatisticsBuilder.CreateBenchmarkDifferences 2016-01-27 15:25:57 -05:00
Stefano Raggi 11c6753297 Changed Padded Performance log Error to Trace 2015-10-24 18:49:51 -04:00
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