Commit Graph

7 Commits

Author SHA1 Message Date
Ricardo Andrés Marino Rojas aa5ab68b47 Fix 3/4 of CA2201 warnings (#8102)
* Fix 2/4 of CA2201 Warnings

* Fix 3/4 of CA2201 warnings
2024-06-24 19:31:23 -03:00
Ricardo Andrés Marino Rojas 8c33536498 Add algorithm status statistic (#8095)
* First draft of the solution

* Fix bugs

* Fix bugs
2024-06-24 14:19:32 -03:00
Ricardo Andrés Marino Rojas ead2efe6b9 Add Starting and Ending KPI's (#7811)
* 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
2024-03-25 15:40:38 -03:00
Martin-Molinero feff802479 Standardize trade count statistic (#7827)
* Standarize trade count statistic

* Rename 'Total Trades' to 'Total Orders'
2024-03-06 14:52:34 -03:00
Jhonathan Abreu 442dd771a3 Remove dynamic options filter behavior (#7620)
* Make options filter non-dynamic by default and explicitly set

* Deprecate ContractSecurityFilterUniverse.OnlyApplyFilterAtMarketOpen

* Add regression algorithm

* Remove dynamic option chain filter behavior
2023-12-14 10:56:52 -03:00
Derek Melchin eefa74baaa Add Sortino ratio to statistics and report (#6698)
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
* 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

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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-12-12 21:06:13 -03:00
Jhonathan Abreu d2f8c73d31 Invalidate option orders during a stock split (#7550)
* Invalidate option orders during a stock split

* Add unit test

* Minor changes

* Minor comments

* Options orders on split one time warning
2023-11-01 17:07:04 -03:00