* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
* Update OrderListHash to use MD5 as hash instead of hash code
* Update regression algorithm OrderListHash statistic
* Use full MD5 hash as OrderListHash, update regression statistic
* Fixes failing regression tests
- Update regression algorithms stats after making SecurityCache ignore
QuoteBars for equity for OHCL values and GetLastData(). They were
affected since the `BenchmarkSecurity` used `.Price` which was QB for
equities. Order list hashes changed because SubmissionLastPrice will
now be TB instead of QB
- 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
Gerardo Salazar