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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 Python Virtual Environments / build (push) Has been cancelled * 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 --------- 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
Martin-Molinero	410956bf9f	FreePortfolioValuePercentage Trailing Behavior (#7272 ) Regression Tests / build (push) Has been cancelled Benchmarks / build (push) Has been cancelled Build & Test Lean / build (push) Has been cancelled Research Regression Tests / build (push) Has been cancelled Python Virtual Environments / build (push) Has been cancelled * Implement Trailing FreePortfolioValue - Implement Trailing FreePortfolioValue by default, users will be able to set it to a fixed number if desired. Adding regression algorithm - Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to 0.1% of the TPV to avoud tiny trades by default * Update existing regression algorithms * Address reviews - Send warning message to the user if a trade does not happen due to the default setting of the minimum order margin percentage value * Address reivews * Rename TotalPortfolioValueLessFreeBuffer * Update new regression algorithm	2023-05-25 18:48:04 -03:00

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

Python Virtual Environments / build (push) Has been cancelled

* 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

---------

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

Martin-Molinero

410956bf9f

FreePortfolioValuePercentage Trailing Behavior (#7272 )

Regression Tests / build (push) Has been cancelled

Benchmarks / build (push) Has been cancelled

Build & Test Lean / build (push) Has been cancelled

Research Regression Tests / build (push) Has been cancelled

Python Virtual Environments / build (push) Has been cancelled

* Implement Trailing FreePortfolioValue

- Implement Trailing FreePortfolioValue by default, users will be able
  to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
  0.1% of the TPV to avoud tiny trades by default

* Update existing regression algorithms

* Address reviews

- Send warning message to the user if a trade does not happen due to the
  default setting of the minimum order margin percentage value

* Address reivews

* Rename TotalPortfolioValueLessFreeBuffer

* Update new regression algorithm

2023-05-25 18:48:04 -03:00

2 Commits