Commit Graph

8 Commits

Author SHA1 Message Date
Martin-Molinero d238a8132e Python fundamental history request fix (#7905)
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- Fix python fundamental pandas history request, where properties
  wouldn't change due to cache. Expanding regression test to assert
  issue
2024-04-09 09:55:20 -03:00
Ricardo Andrés Marino Rojas ead2efe6b9 Add Starting and Ending KPI's (#7811)
* First draft of the solution

* Add missing changes

* Remove the new KPI's from report

* Fix bugs

* nit change

* Add improvements

* Fix regression tests

* Solve bugs in the regression algos

* Fix regression tests bugs

* Expand unit tests and add minor changes
2024-03-25 15:40:38 -03:00
Martin-Molinero 17ca8a743f Refactor universe historical data source (#7837)
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* Refactor universe historical data source

- Add new universe history API methods
- Refactor QuantBook UniverseHistory to use the universe selection
  itself instead of a given func
- Refactor and rename fundamental types
- Refactor AddUniverse API to handle universe collection data which
  holds another type internally, like fundamental

* Fix minor bug causing ApiDataProvider not to serve Bitfinex universe data

* Further improvements to add universe API

* Handle no selection function
2024-03-12 13:41:49 -03:00
Martin-Molinero feff802479 Standardize trade count statistic (#7827)
* Standarize trade count statistic

* Rename 'Total Trades' to 'Total Orders'
2024-03-06 14:52:34 -03:00
Derek Melchin eefa74baaa Add Sortino ratio to statistics and report (#6698)
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* Add Sortino ratio to statistics and report

* Adds Sortino Ratio to Report Key Statistics

* Addresses Peer-Review

Reuse `SharpeRatioReportElement` and change the template.

* Reuse Calculations Across Statistics and PortfolioStatistics

* Adds Sortino Ratio to Regression Algorithms

* Removes Sortino Ratio from Optimization Result Table

---------

Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-12-12 21:06:13 -03:00
Martin-Molinero 7498d2e6e2 QuantBook Universe Selection (#7587)
* QuantBook Universe Selection

- QuantBook universe selection helper method. Adding new unit tests.
- Universe selection data sets improvements

* QuantBook API renames
2023-11-21 17:05:02 -03:00
Jhonathan Abreu 314a334e88 Price adjustment mode Order property (#7582)
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* Add new Order.PriceAdjustmentMode property

* Minor fix and unit test

* Minor fix and regression algorithms' stats update

* Unit test fixes

* Minor fix

* Set order price adjustment mode to raw always for live trading
2023-11-17 16:09:03 -04:00
Martin-Molinero f8b258d329 New Fundamental Data (#7490)
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* New Fundamental Data

* Minor CIK lookup fix

* Handle live mode & delete unexisting properties

* Minor coarse fundamental adjustment

* Add fundamental history support

* Fix unit tests

* Performance improvements

* Fixes

* Minor regression algorithm fix

* Improvements. Add FundamentalUniverseSelectionModel

* Change default values

* Fix unit test

* Minor tweaks

* Fix unit test

* Minor error handling improvement

* Fix rebase
2023-10-25 15:47:42 -03:00