d12772d8ebce3210b91241b99014bb291c574f5c
3 Commits
| Author | SHA1 | Message | Date | |
|---|---|---|---|---|
 Derek Melchin
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c4c66c2aba | Update crunchdao demo algorithm (#7292) | ||
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Louis Szeto
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991ac4595f |
Improves Export Signal Algorithms (#7210)
* Update Collective2PortfolioSignalExportDemonstrationAlgorithm * Update Collective2SignalExportDemonstrationAlgorithm * Update CrunchDAOPortfolioSignalExportDemonstrationAlgorithm * Update CrunchDAOSignalExportDemonstrationAlgorithm * Update NumeraiPortfolioSignalExportDemonstrationAlgorithm * Update NumeraiSignalExportDemonstrationAlgorithm * Address peer review * Add logic to handle warm up * Update unit test statistics |
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Ricardo Andrés Marino Rojas
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9e51f10b77 |
Add Feature Signal Exports feature (#7145)
Benchmarks / build (push) Has been cancelled
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Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Add Collective2SignalExportClass Add SignalExportTarget interface * Collective2SignalExport test working Add SignalExportManager Add draft of CrunchDAOSignalExport * Modify SignalExportManager Instantiate SignalExportManager in QCAlgorithm constructor Draft of CrunchDAOSignalExport * Improve SignalExportManager - Add regression tests SignalExportDemonstrationAlgorithm in C# and Python * Improve SignalExportDemonstrationAlgorithm Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs * Add CrunchDAOSignalExport.cs Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs * Add NumeraiSignalExport.cs Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport Add unit test in SignalExportTargetTests to test NumeraiSignalExport * Address required changes - Add BaseSignalExport.cs - Add SignalExportParameters.cs - Add PortfolioSignalExportDemonstrationAlgorithm.cs/py - Improve Error handling in SignalExport provider classes - Collective2SignalExport now gets the correct number of shares for each holding - SignalExportManager now computes the correct holding percentage of each portfolio target - SignalExportManager now takes into account if the algorithm is in live mode - Demonstration algorithms now are more simple * Address last required changes - PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py - Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding - Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise - Nit changes * Remove exceptions thrown - Add more unit tests and more test cases - Enhance BaseSignalExport.Dispose() method * Add Collective2SignalExportClass Add SignalExportTarget interface * Collective2SignalExport test working Add SignalExportManager Add draft of CrunchDAOSignalExport * Modify SignalExportManager Instantiate SignalExportManager in QCAlgorithm constructor Draft of CrunchDAOSignalExport * Improve SignalExportManager - Add regression tests SignalExportDemonstrationAlgorithm in C# and Python * Improve SignalExportDemonstrationAlgorithm Address requested changes in Collective2SignalExport, SignalExportManger and SignalExportTargetTests.cs * Add CrunchDAOSignalExport.cs Add CrunchDAOSignalExport unit tests in SignalExportTargetTests.cs * Add NumeraiSignalExport.cs Modify SignalExportDemonstrationAlgorithm.cs to test NumeraiSignalExport Add unit test in SignalExportTargetTests to test NumeraiSignalExport * Address required changes - Add BaseSignalExport.cs - Add SignalExportParameters.cs - Add PortfolioSignalExportDemonstrationAlgorithm.cs/py - Improve Error handling in SignalExport provider classes - Collective2SignalExport now gets the correct number of shares for each holding - SignalExportManager now computes the correct holding percentage of each portfolio target - SignalExportManager now takes into account if the algorithm is in live mode - Demonstration algorithms now are more simple * Address last required changes - PortfolioSignalExportDemonstrationAlgorithm.cs/py now inherits from SignalExportDemonstrationAlgorithm.cs/py - Add more unit tests to assert SignalExportManager gets the correct percentage quantity for each holding - Change Collective2SignalExport, CrunchDAOSignalExport and NumeraiSignalExport Send() method to return true if there was no error while sending the signals and false otherwise - Nit changes * Remove exceptions thrown - Add more unit tests and more test cases - Enhance BaseSignalExport.Dispose() method * Fix failing regression tests * Fix failing unit tests * Nit changes * Nit change * Nit change * Fix failing unit tests * Changes required - Break regression algos `SignalExportDemonstrationAlgorithm.cs/py` nad `PortfolioSignalExportDemonstrationAlgorithm.cs/`y` into three ones, one for each signal export provider - Change SignalExportManager constructor to receive current algorithm as a parameter - Fix bug in `SignalExportManager.GetPortfolioTargets()`, now it computes the correct percentage for each holding - Make `BaseSignalExport.DefaultAllowedSecurityTypes` overrdible - Handle case were `Collective2SignalExport.ConvertPercentageToQuantity()` returns null - Clean unnecessary code in `Collective2SignalExport()`, `CrunchDAOSignalExport()` and `NumeraiSignalExport()` * Nit change * Nit change * Minor tweaks after review * Remove indexes from signal exports * Required changes - Change EMA indicators period from 200, 300 to 10,100 in regression algorithms - Remove Indices from regression algorithms - Add more XML documentation to regression algorithms - Change `Log.Error` to `_algorithm.Error` in Signal export providers. Besides, fix error message format - Change default value for `platformId` parameter in `Collective2SignalExport.cs` constructor - Solve small bugs in SignalExportProvider when verificating the amount of porfolio targets is greater than zero and each portfolio target is allowed - Handle case when `PortfolioTarget.Percent()` returns null in `Collective2SignalExport.ConvertPercentageToQuantity()` - Handle error format message from Collective2 API - Check every ticker signal is between 0 and 1 (inclusive) in `CrunchDAOSignalExport.cs` - Modifiy `NumeraiSignalExport.cs` constructor to take into account filename given in the arguments - Fix small bug with the return value of `ConvertTargetsToNumerai()` method in `NumeraiSignalExport.cs` - Modify `SignalExportManager.cs` to return true when the algorithm being ran is not in live mode - Remove indices from CrunchDAO unit tests * Enhance ´CrunchDAOSignalExport.cs´ implementation --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com> |