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6 Commits

Author SHA1 Message Date
Martin-Molinero 73c71c6913 Add missing GC future auxiliary data (#7312)
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* Add missing GC future auxiliary data

- For improved testing add missing GC comex future auxiliary data.
  Updating regression tests

* Update regression algorithm expected data points
 2023-06-09 19:43:34 -03:00
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
Martin-Molinero b5ced1635e Chain Providers will filter expired (#7267)
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- Future and option chain providers will always filter expired contracts
  from their result. Update existing tests
 2023-05-23 18:33:07 -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 f270f25eca Fix default future chain universe selection (#6958) 
* Fix default future chain universe selection

- Fix default future chain universe selection that should always return
  empty, no selection. In some cases it would allos some contracts
  though. Adding regression algorithm reproducing issue.

* Address review
 2023-02-13 15:56:48 -03:00