Commit Graph

4 Commits

Author SHA1 Message Date
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
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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* Refactor alpha statistics

- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
  algorithms

* Optimization backtest result json converter update

* Address reviews

- Remove IAlphaHandler, move insight storage responsability to IResultHandler
  and centralizing insight collection on the QCAlgorithm.Insights to be
  reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
  sampling handling. Updating regression algorithms

* Add InsightCollection tests and minor fixes

* Adding more & improved tests
2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Jhonathan Abreu 9fea859323 Symbol to industry-standard security identifier conversion (#6893)
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* Implement SecurityDefinitionSymbolResolver backwards conversion (symbol -> standard id)

* Peer review

* Peer review

* Peer review
2023-02-10 13:12:13 -03:00