Commit Graph

8 Commits

Author SHA1 Message Date
Ricardo Andrés Marino Rojas b4bad69772 Dynamically Adjust Risk Free Rate of Return (#7489)
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* First attempt to solve the bug

* Enhance implementation

* Enhance implementation

* Simplify implementation

* Rebase regression stats

* Solve unit test bugs

* Review

* Update Rolling.Sharpe() method

* Update regression stats

* Update unit tests

* Update missing regression algos

* Update Rolling.cs

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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2023-10-02 13:42:28 -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
Ronit Jain d1ff914e5a fix docs (#6285)
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2022-04-08 17:44:01 -03:00
Ronit Jain 15066ae5e1 Feature improve regression tests (#6245)
* 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
2022-03-15 16:51:15 -03:00
Ricardo Andrés Marino Rojas a675aca7e5 Refactor GetFilePath() (#6164)
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* Refactor `GetFilePath()`
Add also useful methods to use with this one

* Nit changes

* Requested changes

* Requested changes

* Restore SaveString()

* Nit changes

* Address self review

* Test improvements

* Adjust example KerasNeuralNetworkAlgorithm

* Minor tweak for KerasNeuralNetworkAlgorithm.py

Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2022-02-04 16:58:25 -03:00
AlexCatarino 2e5eddfc29 Adds Python Example of ObjectStoreExampleAlgorithm
Minor change in C# version to keep consistency between examples.
2020-04-21 23:14:21 +01:00
Michael Handschuh d6f1dd8630 Add ObjectStoreExampleAlgorithm
Shows how to read/save object store entires. In this case, it shows a
use case where a potentially time intensive operation's result is saved
in the object store and on subsequent runs the result is pulled directly
from the object store to enable faster run times
2019-12-18 08:46:14 -05:00