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5 Commits

Author SHA1 Message Date
Derek Melchin eefa74baaa Add Sortino ratio to statistics and report (#6698)
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* 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 314a334e88 Price adjustment mode Order property (#7582)
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* 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)
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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 73c71c6913 Add missing GC future auxiliary data (#7312)
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* Add missing GC future auxiliary data

- For improved testing add missing GC comex future auxiliary data.
  Updating regression tests

* Update regression algorithm expected data points
 2023-06-09 19:43:34 -03:00
Martin-Molinero f9bbec1e16 Remove internal subscriptions from future chain (#7169)
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- Remove internal subscription from slive future chain collection.
  Adding regression algorithm reproducing the bug
 2023-04-05 18:23:04 -03:00