Commit Graph

19 Commits

Author SHA1 Message Date
Gerardo Salazar 40c3062348 Improves Report Generator stability and fixes various bugs (#4759)
* Improves stability and fixes various bugs

  * Adds unit tests covering changes
  * Adds COVID-19 crisis plots
  * Adjusts styling of crisis plots for more pleasant viewing
  * Fixes bug where null BacktestResult caused application to crash
  * Order JSON bug fixes and stability improvements
  * MaxDrawdownReportElement now produces results for Live
  * Replaced Estimated Capacity w/ Days Live
  * Added Live marker to sharpe ratio
  * Added support for MOO and MOC orders in PortfolioLooper

* Address review: adds new unit tests and cleans up code

  * Bug fix: use LastFillTime instead of Order.Time for MOO and MOC

* Address review: Fixes tests and cleans up code
2020-09-29 10:03:26 -03:00
Gerardo Salazar bd62a76a35 Fixes calculation of Cumulative Returns
* Updates outdated documentation
2020-04-06 10:45:52 -07:00
Gerardo Salazar 2bce084546 Embeds report stylesheet in the output file.
This is done to make the HTML for the report a standalone page
without requiring the user to provide the *.css file along with
their report
2020-02-10 17:27:23 -08:00
Gerardo Salazar 5d663e8944 Fixes various issues
* Fixes issue with how cumulative percent change was calculated
* Reworks PercentChange extension method
* Fixes PortfolioLooper leverage calculation
* Disable page 2 of reports
* Fix issue where missing values produced misaligned shape in
AnnualReturnsReportElement.cs
2019-12-31 17:37:19 -08:00
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 53653fe6ed Address review - Revert version changes to sln file
* Fixes comments on a few report elements
* Fixes wrong name of a report element "psr kpi" -> "ir kpi"
2019-12-19 11:14:24 -08:00
Gerardo Salazar eb6e13d91f Fixes many issues and refactors some of the report creator
* Can handle null Result packets
* Created utility files
* Added various helper methods to PortfolioLooper
* Fixes build issue by removing System.Collections.Immutable
* Updates plots to show "Insufficient data" when it can't be created
* Hides empty crisis page
* Fixes wkhtmltopdf display bug
* Removes Calculations.cs
* Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm
* Add null value handling in OrderJsonConverter
* Various bug fixes
* Fixes broken ReportChartTests.py
* Adds leverage to PointInTimePortfolio
2019-12-18 16:10:56 -08:00
Gerardo Salazar 9a2f20493a Finish implementing all graphs, fix bugs in various graphs
* Adds Asset allocation chart
* Fixes issue in monthly returns
* Fixes issue with matplotlib tick lines not being consistent
* Style plots correctly
2019-12-18 16:08:40 -08:00
Gerardo Salazar a94077f05a Implements exposure chart.
* Fixes bugs with the following plots:
  - Leverage
  - Drawdown
2019-12-18 16:08:40 -08:00
Gerardo Salazar ef3a688da5 Implements leverage chart 2019-12-18 16:08:40 -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 e156b6d5ab Implement Rolling Sharpe ratio plot 2019-12-18 16:08:40 -08:00
Gerardo Salazar 3e81cdd07b Implement Rolling Beta (6 month and 12 month) chart 2019-12-18 16:08:40 -08:00
Gerardo Salazar 82429318d8 Implements Daily Returns chart and some styling fixes 2019-12-18 16:08:40 -08:00
Gerardo Salazar fa54cd9652 Implements Drawdown chart w/ drawdown periods 2019-12-18 16:08:40 -08:00
Gerardo Salazar a8574d437a Implements Returns Per Trade chart
* Fixes typo in function name in ReportCharts.py
2019-12-18 16:08:40 -08:00
Gerardo Salazar 261f07adef Implement Annual Returns plot section 2019-12-18 16:08:40 -08:00
Gerardo Salazar d7c7082543 Fixes bug preventing successful execution of the program
* Restyles and reworks some of the cumulative percentage gain graph
2019-12-18 16:08:40 -08:00
Jared Broad f66a682f63 Debug commit 2019-12-18 16:08:40 -08:00