Commit Graph

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
Derek Melchin b401fde07e Update MaximumDrawdownPercentPerSecurity model to cancel insights (#7103)
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* Remove OnEndOfAlgorithm and update expected trade count

* Update models to cancel insights

* Update expected results

* Remove `Remove` method call

* Update to use the new `Cancel` method
2023-03-23 11:11:27 -03:00
Alexandre Catarino 3b2e165254 Adds BaseFrameworkRegressionAlgorithm and New Regression Algorithms (#7116)
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* Renames and Updates BaseAlphaModelFrameworkRegressionAlgorithm

The `BaseFrameworkRegressionAlgorithm ` will be used for multiple framework regression tests

* Updates and Renames EmaCrossAlphaModelFrameworkAlgorithm

Adds "Regression" to inform that it's a regression algorithm.

* Updates and Renames MaximumPortfolioDrawdownFrameworkAlgorithm

Adds "Regression" to inform that it's a regression algorithm, and use the model name: `MaximumDrawdownPercentPortfolio`

* Adds New Regression Algorithms
2023-03-22 11:21:30 -03:00