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Author SHA1 Message Date
Ricardo Andrés Marino Rojas b4bad69772 Dynamically Adjust Risk Free Rate of Return (#7489)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
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* First attempt to solve the bug

* Enhance implementation

* Enhance implementation

* Simplify implementation

* Rebase regression stats

* Solve unit test bugs

* Review

* Update Rolling.Sharpe() method

* Update regression stats

* Update unit tests

* Update missing regression algos

* Update Rolling.cs

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
 2023-10-02 13:42:28 -03:00
Jhonathan Abreu bc05aa03f9 Fix win/loss count statistics for options assignments (#7354) 
* Add ITM option assignment trade as win in trade statistics

* Add TradeStatistics unit tests

* Add unit tests

* Add OptionTrade class to abstract IsWin method

* Keep track of winning/losing trades

* Add more unit tests

* Change Trade.IsWin to a property calculated by the trade builder

* Improve regression algorithm

* Handle ITM option sell win/loss statistics

* Update regression algorithms statistics

* Revert accidental unwanted changes

* Address peer review

* Keep track of winning and losing transactions for portfolio statistics

* Add more SecurityPortfolioModel unit tests

* Fix failing unit tests

* Minor changes

* Address peer review

* Minor fix
 2023-07-10 10:20:29 -03:00