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* Adding new algorithm data handling options
- Adding new QCAlgorithm data handling method options to override.
Adding Py/C# regression tests
- Removing old OnData Type specific invoker methods
* Address reviews. Remove old OnData C# only methods
* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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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
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Fix bug and add more unit and regression tests
* - Add more unit tests
* Nit change
* Test cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
Ricardo Andrés Marino Rojas