* 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
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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
* 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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* - Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type
- Change CanSubmitOrder() method implementation in GDAXBrokerageModel.cs to get the MinimumOrderSize from the security SymbolProperties directly
- Add CanSubmitOrder() method in Binance, Bitfinex and Kraken Brokerages models
- Add tests to check if CanSubmitOrder() method is working as expected in Binance, Bitfinex, Kraken and GDAX brokerages models
- Add tests to check if MinimumOrderSize parameter is loading correctly from symbol-properties-database.csv
* Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type"
This reverts commit e0fd66a5fa5215a6fccb98b64d4e3bf709007fdf.
* Revert "Revert "- Update symbol-properties-database.csv, SymbolPropertiesDatabase.cs and SymbolProperties.cs with a new column for MinimumOrderSize parameter for Crypto type""
This reverts commit b0f37935fc334ba8ff3b8ab09b7d979e4e731526.
* Requested changes in Crypto brokerage models
- Remove unnecessary commas in symbols-properties-database.csv
- Add TestHelpers class to reuse GetSecurity() method
- Add IsValidOrderSize() method in DefaultBrokerageModel class
- Remove unnecessary classes for brokerage models test helpers
* Nit change
- Remove unnecessary attribute from DefaultBrokerageModel.cs
* Nit change
* Nit changes and Regression test
- Add Bitfinex BTCUSD hourly data for 2 days
- Add regression test BuyBTCWithLessThanOneDollarAlgorithm.cs to test that the order size is taking into account when placing or updating an order
- Nit changes
* Change CanUpdateOrder() implementation
- CanUpdateOrder() now checks if the requested quantity value is valid
* Requested Changes
- Change regression algorithm BuyBTCWithLessThanOneDollar.cs name and implementation
* Nit changes
Ricardo Andrés Marino Rojas