Commit Graph

4 Commits

Author SHA1 Message Date
Colton Sellers d2d99b1f10 Algorithm Sampling and Statistics Fixes (#5936)
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* Implement scheduled event sampling solution

* Use UTC time, only update daily portfolio value once a day

* For daily resolutions sample chart always

* Cleanup

* Drop resample daily all together

* Force final sample

* Regression updates

* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event

* Name the daily sampling event

* Address review pt 1

* Drop force and use reference wrapper

* Adjust tests

* Fix warning for Benchmark Timezone Misalignment and also add test

* Fix for daily resolution orders and test adjustments

* Also warn on universe settings with daily resolution

* Update missed regression

* Fix reference wrapper use

* Update regression after rebase

* Add values back in for Daylight Algo

* Have statistics builder skip day 1 performance

* Regression adjustments

* Test adjustments

* Update regression unit test

* Adjust some regressions starts to show performance values

* Add hourly algorithm for beta comparison

* Address missing Python regression changes

* Remove null comment
2021-10-05 19:31:25 -03:00
Martin-Molinero 03f56481d4 Refactor python algorithm import (#5657)
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* Python research import improvements

- Improve start.py for research env
- Remove unrequired imports

* Centralize algorithm imports

* Add regression test GH action

* Unit test python import clean up

* Join research and main imports

* More python import clean up

* Fix failing skipped regression algorithm
2021-06-15 19:06:06 -03:00
AlexCatarino fcf2696809 Rebases With Master and Apply New API
Improves regression algorithm by adding more sanity checks.
2020-02-18 13:47:57 +00:00
AlexCatarino 21ce895c18 Implements SectorWeightingPortfolioConstructionModel
Provides an implementation of `IPortfolioConstructionModel` that generates percent targets based on the `CompanyReference.IndustryTemplateCode`.
2020-02-17 22:08:06 +00:00