* 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
- 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
This is being done in an effort to prevent symbol collisions within the
custom data (SecurityType.Base) namespace. The custom data type's name,
is used for disambiguation. As written, this change will break several
user algorithms that still rely on using the implicit string -> Symbol
lift. Providing this type information is optional an currently only being
used by AddData<T> methods. Other consumers of SecurityType.Base symbols
arn't at risk for collision, such as the UserDefinedUniverse, ScheduledUniverse
and others that are LEAN controlled. In order to maintain backwards compatibility,
the SymbolCache was updated to do a hard search when the requested ticker was
not found, looking for the prefix ('ticker.').
Fixes#3332
This flag indicates whether or not the local regression test system,
via RegressionTests.AlgorithmStatisticsRegression should run a given
IRegressionAlgorithmDefinition
Some algorithms had dependencies outside of the file that needed
to be copied into each project. The alternative here is to move
the Bitcoin and QuandlFuture type into Common\Data or similar
A mechanical refactoring was performed to make algorithms currently used in
regression algorithms to implement IRegressionAlgorithmDefinition, which allows
algorithms to define their own expected statistics and what languages should be
run as part of regression. The type name of the C# type is used to determine the
file/model name for python. This was for simplicity, but if needed, could later be
refactored to expose more information, but for now the convention of keeping names
the same makes sense and just works easily.
In some examples, we have been using Portfolio.Cash to calculate the quantity of shares in orders. This is a bad advice for users, since Portfolio.Cash does not account loses in other positions and its use can lead to invalid orders due to insufficient capital. Instead, users should use Portfolio.MarginRemaining.
FuzzyInferenceAlgorithm and LiveFeaturesAlgorithm had minor changes to perform backtests with available data
Derek Melchin