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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
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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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
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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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* Allows Market-On-Close Orders Outside Buffer Period
Market-On-Close orders can be submitted before and after the buffer period from 15:45 to 16:00 (Tested with TWS) meaning that we can submit MOC when the market is closed and, consequently, use daily resolution data.
* Adds Regression Test with Extended Market Hours
- Removes `nextMarketClose > Time` condition since it's unnecessary. If the algorithm Time is greater than the close of that day, `nextMarektClose` refers to the next day.
* Updates Unit Test
Updates `OrderQuantityConversionTest` because the MOC orders are submitted. They are placed at 7 pm and invalid before this pull request.
* Updates Summary of new Regression Tests
* 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
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* Fixes Market On Close Fill of Equity Fill Model
Only use trade data (`Tick` with `TickTrade` type or `TradeBar`) to get the closing price, since MOC is filled with the closing price.
- Fix unit tests to show that the new implementation only fills with trade data from the current open market.
- Change regression tests to reflect the bug fix. All other changes are the consequence of using `TradeBar` instead of `QuoteBar`.
* Address Peer-Review
Fixes the logic with tick data: looking for the OfficalClose or ClosingPrints only apply if data from the extended market hours is included.
Adds additional logic to handle missing trade data.
* Refactors Timeout Logic and Adds It to MarketOnOpenFIll
-Refactors timeout logic to address peer-review and adds it to MOO fill too.
- Adds unit tests
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* Add property for capacity. Remove unused variable
* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics
* Add null checks
* Remove uninvested and untradable assets from capacty calculations
* Add SymbolCapacity influential period
* Updates Regression Tests
- DelistingEventsAlgorithm
- Allows additional contributions from delisted AAA.1
- DelistingFutureOptionRegressionAlgorithm
- Removes DC01H12 contributions one month later
- FutureOptionBuySellCallIntradayRegressionAlgorithm
- Allows additional contributions from future after expiry replacing the contribution of the next contract option
- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
- Allows additional contributions from future after expiry
- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
- Allows additional contributions from option after expiry
- MACDTrendAlgorithm
- Removes contribution when SPY is not invested for over one month
- UniverseSelectionRegressionAlgorithm
- Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)
* Adds Lowest Capacity Asset to Regression Tests
* Normalize expected value -0, because -0 is also written to file if updated
* Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol
* Update Regressions
* Update 'Lowest Capacity Asset' to Symbol.ID
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
Derek Melchin