cce8945fe8
Api Clean up, Documentation and Standarization part two ( #7964 )
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* Add improvements
* Add improvments and unit tests
* Add XML comments
* Nit changes
* Add unit tests for OrderJsonConverter
* Improve unit tests
* Address requested changes
* Fix bugs
* Fix bugs
* Fix bugs and self-review
* Fix bugs
* Address requested changes
* Fix unit test bug
* Fix bugs
* Improve unit tests
* Solve bugs
2024-04-26 13:17:34 -03:00
ead2efe6b9
Add Starting and Ending KPI's ( #7811 )
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* 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
2024-03-25 15:40:38 -03:00
feff802479
Standardize trade count statistic ( #7827 )
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* Standarize trade count statistic
* Rename 'Total Trades' to 'Total Orders'
2024-03-06 14:52:34 -03:00
f298f6e21a
Handle insufficient margin for option exercise ( #7828 )
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* Handle insufficient margin for option exercise
* Minor change
* Minor changes
2024-03-05 15:39:30 -04:00
ce197afe44
Populate order properties for option exercise orders ( #7829 )
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* Populate order properties for option exercise orders
* Minor change
* Not setting broker id for options exercises
* Minor change
2024-03-05 14:19:06 -04:00
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
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
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
bc05aa03f9
Fix win/loss count statistics for options assignments ( #7354 )
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* Add ITM option assignment trade as win in trade statistics
* Add TradeStatistics unit tests
* Add unit tests
* Add OptionTrade class to abstract IsWin method
* Keep track of winning/losing trades
* Add more unit tests
* Change Trade.IsWin to a property calculated by the trade builder
* Improve regression algorithm
* Handle ITM option sell win/loss statistics
* Update regression algorithms statistics
* Revert accidental unwanted changes
* Address peer review
* Keep track of winning and losing transactions for portfolio statistics
* Add more SecurityPortfolioModel unit tests
* Fix failing unit tests
* Minor changes
* Address peer review
* Minor fix
2023-07-10 10:20:29 -03:00
227ade63ed
Refactor automatic option assignment ( #7165 )
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- Refactor automatic option assignment to allow overriding behavior.
Adding & updating existing tests
2023-04-04 17:40:31 -03:00
Ricardo Andrés Marino Rojas