Commit Graph

5 Commits

Author SHA1 Message Date
Jhonathan Abreu b75ed58411 Fix combo order quantity update (#7651)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Fix combo order quantity update

* Minor changes

* Fix unit tests

* Cleanup
2024-01-03 11:11:23 -04:00
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

---------

Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
2023-12-12 21:06:13 -03:00
Jhonathan Abreu 314a334e88 Price adjustment mode Order property (#7582)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
2023-11-17 16:09:03 -04:00
Ricardo Andrés Marino Rojas b4bad69772 Dynamically Adjust Risk Free Rate of Return (#7489)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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

---------

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
Ricardo Andrés Marino Rojas b9f3b1a4a4 Add support for Fill models with COMBO orders in Python (#7446)
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add support for Combo Orders with Fill Model

- Override ComboMarketFill, ComboLimitFill, ComboLegLimitFill in
  FillModelPythonWrapper.cs
- Modify FillModel.Fill() to use Python Fill model if it exists when the
  order is COMBO
- Add regression algorithm ComboOrdersFillModelAlgorithm.py

* Add regression algorithm

* Add regression algos

* Fix bug
2023-08-29 10:06:32 -03:00