github-featured/quantconnect--lean
2
0
Fork 0
Code Issues Pull Requests Deployments Models Agent Notes Packages Projects Releases Wiki Activity
10,624 Commits 16 Branches 4,269 Tags
feature-python-dataframe-performance-2
Commit Graph

20 Commits

Author SHA1 Message Date
Louis Szeto 20e9fd7899 bug-#4846-Fail on restart investing after liquidation on MaximumDrawdownPercentPortfolio.py (#4847) 
* Fail on restart investing after liquidation

I added a line so that the trailing high value could be rebalanced and the investment process won't be stop by high value always more than current value by drawdown percent.

* Update MaximumDrawdownPercentPortfolio.py

* Fix for MaximumDrawdownPercentPortfolio

- Fix C# MaximumDrawdownPercentPortfolio to reset portfolio value after
  liquidation. Only reset once we have actually adjusted some targets.
  Updating regression algorithms.

Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
 2020-10-15 13:34:08 -03:00
Martin Molinero 6ad123ad8c Update regression algorithms stats 
- 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
Martin Molinero 499248fe12 Revert "Revert "Adding Support for Equity L1 Quote Data"" 
This reverts commit 8cd8d206ca.
 2020-04-06 10:32:59 -03:00
Martin Molinero 486b2e6641 Update regression stats 
- Update expected OrderListHash in regression algorithms due to
serialization improvements
 2020-03-31 12:21:13 -03:00
Jack Simonson c6767780c2 Update regression test statistics 2020-03-26 18:29:29 -07:00
Jared 8cd8d206ca Revert "Adding Support for Equity L1 Quote Data" 2020-03-11 19:16:05 -07:00
Juan José D'Ambrosio 951e89314a Update Regression tests 2020-03-11 14:34:16 -03:00
D 3b25ea4240 Update test after adding the new sample data 2020-03-11 14:34:16 -03:00
Juan José D'Ambrosio b7a503a096 Update Regression algorithms 2020-03-11 14:34:13 -03:00
Martin Molinero 0027ab1e66 Regression test assert order list hash 
- 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
Gerardo Salazar 61aa0d3a65 Updates regression statistics 
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
Martin Molinero 2f4929e685 Update regression algorithms 2019-09-29 21:50:44 -03:00
Martin Molinero cb4c574eeb Adjust algorithms statistics 2019-08-06 21:35:25 -03:00
Martin Molinero cfa08a11fb Address reviews 
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
 2019-04-03 21:55:44 -03:00
Martin Molinero 32ac3146b4 Merge Framework and Classic Algorithms 
- Merging Framework and Bridge algorithms into classic QCAlgorithm
class.
- Removing Framework project, VS17 and VS15
 2019-04-03 21:54:32 -03:00
AlexCatarino 5389f9bf8b Implements python version of MaximumDrawdownPercentPortfolio 
- Implements python version of `MaximumDrawdownPercentPortfolio`
- Implements python version of  `MaximumPortfolioDrawdownFrameworkAlgorithm`
 2018-11-06 23:52:52 +00:00
David 537d168d4c Fix algo description 2018-11-04 12:28:19 +08:00
David c35649b1b5 Add support for trailing portfolio stop loss 2018-11-04 08:41:38 +08:00
David f41315cb69 Remove non-conforming features 2018-10-25 23:40:50 +01:00
David dfd8027715 Add regression algorithm - MaximumPortfolioDrawdownFrameworkAlgorithm 2018-10-25 00:03:57 +01:00