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Author SHA1 Message Date
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

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Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
 2025-07-17 16:32:23 -03:00
Jhonathan Abreu e90309678e Security initialization on re-addition (#8681)
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* Initialize security after addition and re-addition

* Improve regression algorithms

* Add universe selection regression algorithm

* Add minor comment
 2025-04-09 16:26:05 -04:00
Jhonathan Abreu 1974884c13 Security re-addition tidy up (#8656) 
* Initialize securities on re-addition

* Minor unit tests fixes

* Reset Index.ManualSetIsTradable when security is removed

* More changes to clean up and simplify

* Address security re-utilization only

* Cleanup regression algorithms
 2025-04-04 16:28:15 -04:00