Commit Graph

6 Commits

Author SHA1 Message Date
Martin-Molinero c33ce2f8c3 MHDB Merge Common Holidays, LateOpens & EarlyCloses (#7278)
* MHDB will merge common entry

- The MHDB will merge the market and security common entry holidays,
  early closes and late opens

* Normalize & reuse future US holidays

- Normalize & reuse future US holidays

* Update existing unit tests expected stats
2023-05-30 11:54:28 -03:00
Jhonathan Abreu 0b81cf0218 Add dataMappingMode parameter to History methods (#7204)
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* Add dataMappingMode parameter to every history api method overload

* Minor unit tests fixes

* Update regression algorithm stats

* Minor changes

* Minor changes
2023-04-21 17:24:14 -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 6563d6e394 Use any resolution for chain provider (#6860)
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* Use any resolution for chain provider

- Use any data resolution available to source symbols for the file based
  chain provider. Adding unit test

* Fix selection timezone bug

- Fix universe selection timezone bug. Updating regression algorithms
2023-01-16 16:10:07 -03:00
Louis Szeto b5b317f490 Basic template algorithm for continuous futures rollover (#6803)
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* Basic template algorithm for continuous futures rollover handling

* update regression metric

* Update to multi-contract versions

* SymbolData implementation

* minor bug

* peer review

* order hash

* more abstraction
2022-12-20 11:37:32 -03:00