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

2 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
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