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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
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* Use any resolution for chain provider
- Use any data resolution available to source symbols for the file based
chain provider. Adding unit test
* Fix selection timezone bug
- Fix universe selection timezone bug. Updating regression algorithms
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* docs: `excersizing` -> `exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: fix `exercising for exercising`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
* docs: `migth` -> `might`
Signed-off-by: Ryan Russell <git@ryanrussell.org>
Signed-off-by: Ryan Russell <git@ryanrussell.org>
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* Respect warmup resolution given
- The data feed will respect the warmup resolution given and override
the resolution used by the algorithm when adding a subscription.
Updating regression algorithm to keep previous statistics. Adding new
regression algorithm asserting the desired behavior
* Testing improvements
- Add more unit tests and regresion test
- Add missing data for crypto
- Fix bug with FFed data crossing after the end time of the warmup
request
* Add more Warmup resolution regression algorithms
- Adding more warmup resolution regression algorithms, using
Settings.WarmupResolution and an option selection case
* Add more warmup regression tests
- Adding more warmup regression tests.
- Will no longer skip universe selection subscriptions from warmup
resolution enforcement. Updating regression algorithms data points
* Fix bug with data rounding
- Fix data rounding bug when warmup resolution is set to a different
value than the original configuration. Updating regression algorithms
to assert the expected behavior
* Address reviews
- Revert regression algorithms changes to use Resolution during warmup.
Updating their stats.
- Adding new regression algorithms asserting the behavior warming up
using a timespan and no warmup resolution
- Fix bug where data used to warmup the 'normal' enumerator will make it
through into the warmup time span. Updating tests
* Address reviews
- Add missing comments, explaning warmup algorithms time span
calculations.
- Revert changes in existing `WarmupOptionTimeSpanRegressionAlgorithm`
to reduce diff to minimum
- Adding new warmup unit tests asseting algorithm warmup start time, for
different combinations of bar count, timespan, resolution
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* Add indicator for allowed option styles to QL option price models
* Add and update option price model tests
* Update option price models methods sumary to indicate allowed option styles
* Add regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to use Lean local data
* Add Python regression algorithms for option price models for different option styles
* Update OptionPriceModel regression algorithms to assert that greeks are valid
* Address changes request
* Address changes request
* Update OptionPriceModel regression algorithms to check both call and put contracts
* Update OptionPriceModel regression algorithms to use correct test data
* Update OptionPriceModel regression algorithms to throw in OnData
* Address changes request
* Update OptionPriceModel regression algorithms to assert greeks are not all zero
Martin-Molinero