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4 Commits

Author SHA1 Message Date
JosueNina 0854ab82da Default option filter now includes weeklies to prevent empty chains (#9162) 
* Return weekly contracts if no standard contracts exist

* Fix unit and regression tests

* Centralize default expiration type flags

* Add ExcludeWeeklys() method

* Mark IncludeWeeklys() as obsolete since weeklies are now default
 2025-12-31 10:11:46 -03:00
Martin-Molinero 4961844f82 Refactor user define universe handling (#9088) 
* Refactor user define universe handling

- Normalize user define universe additions and removals to behave like
  other subscriptions without requiting special handling

* Minor fixes
 2025-11-18 12:29:05 -03:00
JosueNina 7008d17714 Add MaxDrawdownRecovery metric (#8865)
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* Implement  a prototype of the maximum recovery time function.

* Add unit test skeletons.

* Add failing test

* Issue #4581: Implement MaxDrawdownRecoveryTime.

* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value

* Issue 4581: Fix bgu for when lDrawdowns list is empty.

* Issue 4581: Change names of tests. Change name of file.

* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.

* Issue 4581: Add multiple unit tests.

* Issue #4581: Change name of unit test

* Issue #4581: Add to PerformanceMetrics

* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.

* Issue #4581: Add to portolfio statistics class.

* Issue #4581: Add to statistics builder.

* Issue #4581: Add report key.

* Case #4581: Convert to decimal.

* Issue #4581: Correct comment.

* Issue #4581: Correct performance metrics view model string.

* Case #4581: Correct statistics builder view model string..again.

* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.

* Issue #4581: Add 2 new tests.

* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.

* Issue #4581: Add unit test.

* Issue #4581: Remove reportkey. Change dto name.

* Issue #4581: Change summary.

* Issue #4581: Change comment.

* Add max drawdown recovery calculation with unit tests

* Update regression algorithms with the new metric

* Solve review comments

* Update regression algorithms

* Add TryGet to safely get the key: MaximumDrawdownRecovery

* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json

* Revert changes in Messaging

* Update regression algorithms

* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns

* Use integer days for MaximumDrawdownRecovery

* Add MaximumDrawdownRecoveryReportElement

* Use more explicit names

* Rename files and variables for consistency

* Update regression algorithms

---------

Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
 2025-07-17 16:32:23 -03:00
Jhonathan Abreu ec428c5f6c Daily options contracts valid open interest values (#8450) 
* Fix for daily options open interest data to be added to contracts

* Cleanup

* Update regression algorithms stats

* Minor fix and cleanup

* Minor fix

* Minor fix

* Update regression algorithms data point count

* Address peer review
 2024-12-12 14:50:59 -03:00