Commit Graph

7 Commits

Author SHA1 Message Date
Martin-Molinero bc6ac5470b Minor IndexOption underlying TZ fix (#7072)
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* Minor IndexOption underlying TZ fix

- Fix for option universe chain underlying TZ which might not match the
  options one, bug affected IndexOption specifically.

* Update affected regression tests
2023-03-15 18:41:52 -03:00
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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* Refactor alpha statistics

- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
  algorithms

* Optimization backtest result json converter update

* Address reviews

- Remove IAlphaHandler, move insight storage responsability to IResultHandler
  and centralizing insight collection on the QCAlgorithm.Insights to be
  reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
  sampling handling. Updating regression algorithms

* Add InsightCollection tests and minor fixes

* Adding more & improved tests
2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Martin-Molinero 6fd1a002fe Adjust index option data timezone (#6970)
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* Fix index option data timezone

- Fix index option data timezone which was 1 hour late than expected

* Update existing index option tests

- Update existing index option tests.
- Disable index option daily resolution support
2023-02-16 17:35:10 -03:00
Jhonathan Abreu 35dfcd73ab Index options MHDB review (#6890)
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* Index options MHDB review

* Update MHDB

* Update regression algorithms stats

* Update regression algorithms stats

* Add index and index options holidays

* Peer review

* Update algorithms stats
2023-02-10 14:37:44 -03:00
Martin-Molinero f4cf7b6733 Fix SPXW option strategies (#6939)
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- Fix SPXW option strategies. Adding regression algorithm
2023-02-08 20:24:30 -03:00
Martin-Molinero a52822853d Expand Index option support (#6849)
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* Expand Index option support

- Adjust APIs so that the same underlying can be used
  for different options, adding support for SPX weekly options. Adding
  regression tests

* Fix IndexOption.IsStandard

* Add IndexOption test
2023-01-12 16:39:02 -03:00