Commit Graph

20 Commits

Author SHA1 Message Date
Jack Simonson 0d791ec39a Update Unit Tests and Portfolio Statistics
Updated new unit tests to use TestFixtureSetUp and TestFixtureTearDown. Changed updated PortfolioStatistics to call methods from Statistics.
2020-03-27 10:41:52 -07:00
Jack Simonson 61432ffc29 Update Lean Statistics
Clean branch to update Tracking Error and Annual Performance statistics.
2020-03-26 16:54:59 -07:00
Martin Molinero 324556db62 Add ProbabilisticSharpeRatio
- Add `ProbabilisticSharpeRatio` to `PortfolioStatistics`
- `Probabilistic Sharpe Ratio` will be added to the `RunTimeStatistics`
sent by the `ResultHandlers`
- Making `TradeBuilder.ClosedTrades` thread safe since its accessed by
the `ResultHandlers`
- Removing `:` from live runtime statistics
- Adding unit tests
2019-10-21 15:54:42 -03:00
Michael Handschuh d709d1c4e0 Update Common to respect CA1304 and CA1305
Updates all occurrences of parsing/ToString-ing to go through the new
StringExtensions methods that use CultureInfo.InvariantCulture

See #3045
2019-09-12 14:13:24 -04:00
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
Michael Handschuh e9e6472dd0 Fixes number overflow in statistics generation 2016-03-31 20:00:45 -04:00
snugs be950e756a Log full errors/stack traces
Many places in the code used Log.Error(err.Message) or equivalent which
strips out all the really useful information, such as the stack trace
and inner exceptions. Using Log.Error(exception) is the correct way to
log an error as it will correctly write all the message details, also,
by passing the full Exception object we can improve the logging in this
one place and all call sites will automatically benefit from the improvements
2015-12-02 12:35:33 -05:00
snugs e16c82a856 Adds IAlgorithm.PostInitialize
Resolve benchmark in PostInitialize method
2015-08-06 13:05:05 -04:00
Michael 184f573b7b Improved comment on padded benchmark 2015-08-05 16:17:11 -04:00
Ray Bohac 1b9c1b7921 Initial implementation of custom benchmarks 2015-08-05 15:30:34 -04:00
snugs 4957b2ba42 Fix total trades to be orders with fills 2015-07-31 17:16:11 -04:00
QuantConnect 7024d654f5 Modified statistics to count orders not completed trades 2015-07-15 12:47:45 -04:00
QuantConnect fde0cbed3a Strip out block quote section header comments 2015-06-13 16:04:27 -04:00
snugs 89b6e98af8 Fixes warnings mostly relating to xml comments
Also cleans up some block comments

Via PR#72 - thanks @ammachado!
2015-05-13 10:56:47 -04:00
snugs 6698942b3f Move Total Fees to end of statistics 2015-05-12 22:25:30 -04:00
snugs f65ed9ba59 Adds Total Fees to backtesting statistics 2015-05-12 18:16:23 -04:00
Adriano Marcondes Machado b2229e8968 Fixed a few compilation warnings 2015-03-09 16:28:17 -03:00
QuantConnect 2309a111fc Bug fix drawdown reporting max drawdown value-percentage instead of max-percentage-drawdown, thanks @xenu256 2015-02-23 14:47:36 -03:00
Jared Broad c845e21feb Added culture invariant info to all convert to decimal references, close #25 2015-02-17 22:50:33 -03:00
Jared Broad b3de520915 Initial commit 2015-01-12 12:03:33 -03:00