Commit Graph

13 Commits

Author SHA1 Message Date
Jared 8cd8d206ca Revert "Adding Support for Equity L1 Quote Data" 2020-03-11 19:16:05 -07:00
Juan José D'Ambrosio 951e89314a Update Regression tests 2020-03-11 14:34:16 -03:00
D 3b25ea4240 Update test after adding the new sample data 2020-03-11 14:34:16 -03:00
Juan José D'Ambrosio b7a503a096 Update Regression algorithms 2020-03-11 14:34:13 -03:00
Martin Molinero 0027ab1e66 Regression test assert order list hash
- Regression tests assert order list hash value
- Normalizing some regression test behavior that had differences between
C# and Py
2020-02-19 20:26:12 -03:00
Gerardo Salazar 61aa0d3a65 Updates regression statistics
Please note that with these changes, any algorithms that
use daily data exclusively will have incorrect statistics.
2020-01-16 14:03:54 -08:00
Martin Molinero 4439a070fa Address reviews
- Will use a deannualized sharpe ratio of 1 as benchmark
2019-10-21 20:21:26 -03:00
Martin Molinero 324556db62 Add ProbabilisticSharpeRatio
- 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
2019-10-21 15:54:42 -03:00
Martin Molinero 2f4929e685 Update regression algorithms 2019-09-29 21:50:44 -03:00
Martin Molinero 7cd1c18887 Benchmark Symbol will not be added to cache 2019-08-20 18:42:31 -03:00
Martin Molinero 0d6d66cd09 SPY default security benchmark
- Setting SPY as the default security benchmark
- The security benchmark subscription will be added at `UniverseSelection`
as an internal subscription. Using its own dedicated Security instance
which doesn't live in the algorithms.Securities collection.
- Reducing algorithms exposure to internal subscriptions
- `TimeSliceFactory` will prioritize higher resolution bars, when same
symbol is present twice (for non-internal subscriptionst)
- Adding regression test `CustomUniverseWithBenchmarkRegressionAlgorithm`
2019-08-06 21:15:33 -03:00
Jared Broad 61043d9d98 Tagged algorithms for QCU 2017-09-20 15:44:51 -04:00
Ray Bohac 1b9c1b7921 Initial implementation of custom benchmarks 2015-08-05 15:30:34 -04:00