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3 Commits

Author SHA1 Message Date
Martin-Molinero 410956bf9f FreePortfolioValuePercentage Trailing Behavior (#7272)
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* Implement Trailing FreePortfolioValue

- Implement Trailing FreePortfolioValue by default, users will be able
  to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
  0.1% of the TPV to avoud tiny trades by default

* Update existing regression algorithms

* Address reviews

- Send warning message to the user if a trade does not happen due to the
  default setting of the minimum order margin percentage value

* Address reivews

* Rename TotalPortfolioValueLessFreeBuffer

* Update new regression algorithm
 2023-05-25 18:48:04 -03:00
Louis Szeto f684940a7c Update MaximumUnrealizedProfitPercentPerSecurity model to cancel insights (#7121) 
* Update regression test

* Update model to expire insights

* Avoid remove insights

* Update regression test

* Use InsightManager Cancel to Expire All Insights

* Update CompositeRiskManagementModelFrameworkAlgorithm

This regression also depends on `MaximumUnrealizedProfitPercentPerSecurity` and `MaximumDrawdownPercentPerSecurity` but `MaximumDrawdownPercentPerSecurity` doesn't close positions.

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
 2023-03-23 12:23:42 -03:00
Alexandre Catarino 3b2e165254 Adds BaseFrameworkRegressionAlgorithm and New Regression Algorithms (#7116)
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm

The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests

* Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm

Adds "Regression" to inform that it's a regression algorithm.

* Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm

Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio`

* Adds New Regression Algorithms
 2023-03-22 11:21:30 -03:00