- 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
- New `KellyCriterionManager` will be used by the
`StatisticsInsightManagerExtension` to calculate and update the
`AlphaRuntimeStatistics` with the new Kelly Criterion values, on a daily
basis.
- `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`
In `SecurityHolding.TotalCloseProfit`, use the market order direction to define whether ithe method should use the bid or the ask to compute unrealized profit.
- Fix statistics of futures' algorithms.
- Adds unit test.
This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
Martin Molinero