52f4c0f834
Merge pull request #2954 from HalldorAndersen/patch-8
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Add new alpha: Greenblatts Magic Formula Alpha
2019-03-01 14:27:15 -08:00
8f9a7a073d
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 14:00:35 -08:00
61d95cce8c
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 13:58:24 -08:00
b05a1c9dd7
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 13:31:08 -08:00
8732e7fe8f
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 12:31:53 -08:00
be5958c46b
Update GreenblattMagicFormulaAlgorithm.py
2019-03-01 12:29:24 -08:00
1883bed1a7
Adds an Overload to DateRules.Every method that Accepts a Single DayOfWeek Object
2019-02-26 22:28:43 +00:00
25c663c079
Updated Greenblatt Magic Formula Alpha
2019-02-26 09:25:05 -08:00
7906fb19e2
Update GreenblattMagicFormulaAlgorithm.py
2019-02-25 10:12:00 -08:00
d419cafd68
Update QuantConnect.Algorithm.Python.csproj
2019-02-25 09:39:20 -08:00
947a2760db
Create GreenblattMagicFormulaAlgorithm.py
2019-02-25 09:35:14 -08:00
9651df9900
Updating the ScheduledEventBenchmark
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- Renaming files from `Schedule...` to `Scheduled...` to match algorithm
name.
- Removed `ScheduledEvents` set every 5 seconds
- Increased the every day `ScheduledEvents` from 200 to 600
2019-02-22 18:57:08 -03:00
58f342ba5d
Merge branch 'master' into forex_triangle_alpha
2019-02-22 13:02:42 -08:00
307b53edd7
Changes to check that data for all currencies is availabe in each slice and decrease resolution to limit insights
2019-02-22 12:14:37 -08:00
d91cad3123
Updates pythonnet to 1.0.5.17
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- Updates PythonNet to 1.0.5.17
- Improve performance by adding new `interop` `type` cache holding a `bool`, true if its an `exception`. And adding a `setter` and `getter` cache for the `propertyobject`. Closes #2925 .
- Decimal parsing allows numeric string in exponential notation. Closes #2918 #2919 .
Closes #2929
2019-02-22 17:46:59 +00:00
72b74b06ad
Changed Bid-Ask and decreased resolution
2019-02-21 17:55:10 -08:00
c1cdd06d85
Renaming share class alpha file and removing old version; updating VS project file
2019-02-21 16:42:14 -08:00
ad1cfb81a8
Insight prediction interval and magnitude change
2019-02-21 11:43:14 -08:00
fab0e37235
New Alpha -- Dual Share Class Alpha
2019-02-21 11:18:46 -08:00
f5b9690966
New Alpha - Triangle Exchange Rate
2019-02-21 10:44:39 -08:00
bb2e3e37a5
Update QuantConnect.Algorithm.Python.csproj
2019-02-20 19:05:22 -08:00
7686ef3a89
Create TripleLeverageETFPairVolatilityDecayAlpha.py
2019-02-20 19:02:46 -08:00
bc2d1c1963
Added new alpha: Lunch Break Mean Reversion Alpha ( #2931 )
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* Create MeanReversionLunchBreakAlpha.py
2019-02-20 18:58:53 -08:00
42bd32b15c
Added new alpha: Global Equity Mean Reversion using IBS Alpha ( #2930 )
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* Create GlobalEquityMeanReversionIBSAlpha.py
* Update QuantConnect.Algorithm.Python.csproj
* Update QuantConnect.Algorithm.Python.csproj
* Update GlobalEquityMeanReversionIBSAlpha.py
* Update GlobalEquityMeanReversionIBSAlpha.py
2019-02-20 18:37:22 -08:00
0b5a302fb5
Trim and refactor
2019-02-10 18:27:54 -08:00
1001029cb4
Create IntradayReversalCurrencyMarkets.py
2019-02-11 01:00:40 +00:00
a2e0d6f3a4
Merge pull request #2897 from HalldorAndersen/patch-2
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Added Pump and Dump alpha algorithm
2019-02-07 18:29:22 -08:00
f3cf32c3d7
Trim spaces
2019-02-07 18:29:12 -08:00
560f14c63a
Added Pump and Dump alpha algorithm
2019-02-07 18:01:48 -08:00
92730275f1
Update ShareClassMeanReversionAlphaModel.py
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Updates to logic calculating whether position has crossed SMA
2019-02-07 15:17:54 -08:00
7677965f2f
Update ShareClassMeanReversionAlphaModel.py
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Grouped insights
2019-02-05 16:57:11 -08:00
1b8b5373a3
Update ShareClassMeanReversionAlphaModel.py
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Added custom boolean flag for investment position
2019-02-05 16:53:35 -08:00
ae6f69ff5d
Update ShareClassMeanReversionAlphaModel.py
2019-02-04 18:10:48 -08:00
d4b515f30c
Update ShareClassMeanReversionAlphaModel.py
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Grouped insights
2019-02-04 18:06:44 -08:00
a35aee4f2f
Update ShareClassMeanReversionAlphaModel.py
2019-02-04 16:38:02 -08:00
67fa7b5c74
Update ShareClassMeanReversionAlphaModel.py
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Added missing import line
2019-02-04 16:34:30 -08:00
80c1591ddb
Create ShareClassMeanReversionAlphaModel.py
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New Demo Alpha model
2019-02-04 16:19:49 -08:00
ffcd960139
Merge branch 'master' of https://github.com/QuantConnect/Lean
2019-02-04 09:00:41 -08:00
2956a17944
Merge pull request #2866 from QuantConnect/regression-alpha-algorithm-updates
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Regression alpha algorithm updates
2019-02-01 13:23:17 -08:00
245f9645d9
Final tweaks
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Added line to prevent memory leaks
2019-02-01 08:45:48 -08:00
f6c4a9509b
Update LiveFeaturesAlgorithm.py
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Datetime change to match C# format
2019-01-31 18:04:13 -08:00
4c3e423a2c
Update LiveFeaturesAlgorithm.py
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Final tweaks after testing
2019-01-31 17:26:24 -08:00
25766d0ec1
Update LiveFeaturesAlgorithm.py
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Small addition
2019-01-31 17:12:30 -08:00
d9c2fa7974
Create LiveFeaturesAlgorithm.py
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Write Python version of LiveFeaturesAlgorithm.cs
2019-01-31 17:07:12 -08:00
3bb5b647a2
Update OrderTicketDemoAlgorithm.py
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StopLimitOrders seems to be coded improperly. The buy order had the limit price below the stop price, and the sell order had the limit prive above the stop price. By reversing the two, we can guarantee a sell limit at 0.25% below the close price and a buy limit at 0.25% above the close price, with a stop price at -0.1% and 0.1% respectively.
2019-01-31 12:13:54 -08:00
27e562ee15
Futures consolidator algorithm changes, new basic template algorithm for options consolidators
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Changed function of BasicTemplateFuturesConsolidatorAlgorithm.py to use OnSecuritiesChanged to add/remove consolidators. Wrote equivalent algorithm for options data
2019-01-31 11:22:59 -08:00
8203f32ccf
Merge pull request #2862 from QuantConnect/feature-110-make-account-currency-configurable
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Adding SetAccountCurrency for backtesting
2019-01-30 15:09:44 -08:00
13ed3bcaf1
Update CustomChartingAlgorithm.py
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One more tweak to overlay the lines rather than separating the series
2019-01-30 14:31:24 -08:00
2e7c3fb6e4
Update CustomChartingAlgorithm.py
2019-01-30 13:54:26 -08:00
93c2ebf6ca
Fix floating point precision issue in RebalancingLeveragedETFAlpha
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This change was required due to #2829
2019-01-28 17:01:22 +01:00
Jared