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Author SHA1 Message Date
JosueNina 33ff836857 Compute probabilistic Sharpe ratio on excess returns (#9583)
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* Use risk-free rate in probabilistic Sharpe ratio

* Extend risk free rate to live report PSR and fix probabilistic sharpe ratio tests

* Update regression statistics

* Update test regression statistics

* Add test asserting Sharpe ratio and PSR consistency

* Use excess returns for live report Sharpe and PSR

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Co-authored-by: Kevin-Li-2025 <2242139@qq.com>
 2026-07-06 16:24:52 -03:00
Jhonathan Abreu 8447137a3f Add algorithm as parameter to IExecutionModel.OnOrderEvent (#8996)
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 2025-09-26 17:01:00 -04:00
Jhonathan Abreu f08ac5bcce Add OnOrderEvent method to IExecutionModel (#8987) 
* Add OnOrderEvent to IExecutionModel

Feed order events to execution models

* Minor Python fix
 2025-09-26 11:52:28 -04:00