Commit Graph

3 Commits

Author SHA1 Message Date
Gerardo Salazar 1c4935fc60 Address review - increase performance and refactor
* Deletes NullAlphaHandler, NullLeanManager, NullSynchronizer
* Calculate the backtest and live PointInTimePortfolios only once now
* Refactor Metrics calculations
* Add missing license headers to some files
* Reverts accessibility of AddToUserDefinedAlgorithm to private
* Other misc. fixes and cleanup
2019-12-23 14:13:28 -08:00
Gerardo Salazar 62714aabf6 Add license to source code files files missing it under Reports project 2019-12-18 16:08:40 -08:00
Gerardo Salazar 7cc4dec6b7 Reworks structure of project
We now will calculate all of the metrics needed to directly plot the
data in C# instead of doing calculations in Python.

This has added benefits in that the code can be easily reused to generate
plots from Result packets and makes the underlying plotting library we
use more extensible and replaceable.

* Adds Calculations.cs
* Refactors some of ReportCharts.py
* Adds Drawdown classes
* Adds Deedle and MathNet.Numerics packages
* Completes calcuations in C# side instead of Python

Side note: I think it's a little funny that we were previously
calculating the plots via Pandas, which uses a C backend. Effectively, we
were transferring data between at least 2 separate FFI
boundaries: C# -> Py -> C -> ? (whatever BLAS is written in)
2019-12-18 16:08:40 -08:00