314a334e88
Price adjustment mode Order property ( #7582 )
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
2023-11-17 16:09:03 -04:00
b4bad69772
Dynamically Adjust Risk Free Rate of Return ( #7489 )
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* First attempt to solve the bug
* Enhance implementation
* Enhance implementation
* Simplify implementation
* Rebase regression stats
* Solve unit test bugs
* Review
* Update Rolling.Sharpe() method
* Update regression stats
* Update unit tests
* Update missing regression algos
* Update Rolling.cs
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com >
Co-authored-by: Martin-Molinero <martin@quantconnect.com >
2023-10-02 13:42:28 -03:00
bc05aa03f9
Fix win/loss count statistics for options assignments ( #7354 )
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* Add ITM option assignment trade as win in trade statistics
* Add TradeStatistics unit tests
* Add unit tests
* Add OptionTrade class to abstract IsWin method
* Keep track of winning/losing trades
* Add more unit tests
* Change Trade.IsWin to a property calculated by the trade builder
* Improve regression algorithm
* Handle ITM option sell win/loss statistics
* Update regression algorithms statistics
* Revert accidental unwanted changes
* Address peer review
* Keep track of winning and losing transactions for portfolio statistics
* Add more SecurityPortfolioModel unit tests
* Fix failing unit tests
* Minor changes
* Address peer review
* Minor fix
2023-07-10 10:20:29 -03:00
227ade63ed
Refactor automatic option assignment ( #7165 )
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- Refactor automatic option assignment to allow overriding behavior.
Adding & updating existing tests
2023-04-04 17:40:31 -03:00
Jhonathan Abreu