* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
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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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* Support extended market hours in AddFuture()
* Support extended market hours in AddFutureContract()
* Add C# regression algorithm
* Add Python regression algorithm
* Add regression algorithm for future contracts
* Add regression algorithm checking market hour ranges
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed future regression algorithms to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Update future market hours to include extended in market hours database
* Fixed AddFutureOptionContractDataStreamingRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionContractFromFutureChainRegressionAlgorithm to use extended market hours
* Fixed AddFutureContractWithContinuousRegressionAlgorithm to use extended market hours
* Fixed BasicTemplateContinuousFutureAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesAlgorithm to use extended market hours
* Fix BasicTemplateFuturesDailyAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesFrameworkAlgorithm to use extended market hours
* Fixed BasicTemplateFuturesHistoryAlgorithm to use extended market hours
* Fixed ContinuousBackMonthRawFutureRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureBackMonthRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureHistoryRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm to use extended market hours
* Fixed ContinuousFutureRegressionAlgorithm to use extended market hours
* Fixed DelistedFutureLiquidateRegressionAlgorithm to use extended market hours
* Fixed AutomaticIndicatorWarmupDataTypeRegressionAlgorithm to use extended market hours
* Fixed ConsolidateRegressionAlgorithm to use extended market hours
* Fixed DelistingFutureOptionRegressionAlgorithm to use extended market hours
* Fixed EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm to use extended market hours
* Fixed FutureContractsExtendedMarketHoursRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Fixed FutureMarketOpenConsolidatorRegressionAlgorithm to use extended market hours
* Fixed FutureOptionBuySellCallIntradayRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallITMGreeksExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionDailyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionHourlyRegressionAlgorithm to use extended market hours
* Fixed FutureOptionMultipleContractsInDifferentContractMonthsWithSameUnderlyingFutureRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortCallOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutITMExpiryRegressionAlgorithm to use extended market hours
* Fixed FutureOptionShortPutOTMExpiryRegressionAlgorithm to use extended market hours
* Fixed FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm to use extended market hours
* Fixed FuturesExpiredContractRegression to use extended market hours
* Fixed FutureSharingTickerRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataMappingModeRegressionAlgorithm to use extended market hours
* Fixed HistoryWithDifferentDataNormalizationModeRegressionAlgorithm to use extended market hours
* Fixed LimitOrdersAreFilledAfterHoursForFuturesRegressionAlgorithm to use extended market hours
* Fixed OpenInterestFuturesRegressionAlgorithm to use extended market hours
* Fixed RegisterIndicatorRegressionAlgorithm to use extended market hours
* Fixed SetHoldingsFutureRegressionAlgorithm to use extended market hours
* Fixed WarmupFutureRegressionAlgorithm to use extended market hours
* Fixed AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm to use extended market hours
* Fixed AlgorithmHistoryTests to use extended market hours for futures
* Fixed AlgorithmTradingTests to use extended market hours for futures
* Fixed BrokerageSetupHandlerTests to use extended market hours for futures
* Fixed TimeRulesTests to use extended market hours for futures
* Fixed FutureOptionMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FutureMarginBuyingPowerModelTests to use extended market hours for futures
* Fixed FileSystemDataFeedTests to use extended market hours for futures
* Fixed QuantBookHistoryTests to use extended market hours for futures
* Split BasicTemplateContinuousFutureAlgorithm to have an extended market version
* Fixed FutureMarketOpenAndCloseRegressionAlgorithm to use extended market hours
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesAlgorithm to have an extended market version
* Split BasicTemplateFuturesFrameworkAlgorithm to have an extended market version
* Split BasicTemplateFuturesHistoryAlgorithm to have an extended market version
* Revert AddFutureContractWithContinuousRegressionAlgorithm
* Revert AddFutureOptionContractDataStreamingRegressionAlgorithm and added data
* Revert AddFutureOptionContractFromFutureChainRegressionAlgorithm
* Revert AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm
* Revert ConsolidateRegressionAlgorithm
* Revert Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
* Revert ContinuousFutureBackMonthRegressionAlgorithm
* Revert ContinuousFutureHistoryRegressionAlgorithm
* Revert ContinuousFutureLimitIfTouchedOrderRegressionAlgorithm
* Revert ContinuousFutureRegressionAlgorithm
* Revert Algorithm.CSharp/DelistedFutureLiquidateRegressionAlgorithm.cs
* Revert EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm
* Split FutureMarketOpenAndCloseRegressionAlgorithm to have an extended market version
* Split FutureMarketOpenConsolidatorRegressionAlgorithm to have an extended market version
* Revert FutureOptionBuySellCallIntradayRegressionAlgorithm
* Revert FutureOptionCallITMExpiryRegressionAlgorithm
* Revert FutureOptionDailyRegressionAlgorithm
* Revert FutureOptionPutITMExpiryRegressionAlgorithm
* Revert FutureSharingTickerRegressionAlgorithm
* Revert FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
* Revert FuturesExpiredContractRegression
* Revert HistoryWithDifferentContinuousContractDepthOffsetsRegressionAlgorithm
* Revert HistoryWithDifferentDataMappingModeRegressionAlgorithm
* Revert HistoryWithDifferentDataNormalizationModeRegressionAlgorithm
* Revert OpenInterestFuturesRegressionAlgorithm
* Revert RegisterIndicatorRegressionAlgorithm
* Revert SetHoldingsFutureRegressionAlgorithm
* Revert WarmupFutureRegressionAlgorithm
* Revert AutomaticIndicatorWarmupDataTypeRegressionAlgorithm
* Some cleanup
* Address changes request
* Address changes request
* Add more Class III Milk data to fix DelistingFutureOptionDailyRegressionAlgorithm
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- Similar to the OptionChainUniverse, the future chain universe should
also add it's contracts using the raw data normalization mode. Adding
regression algorithm reproducing issue
Ricardo Andrés Marino Rojas