Commit Graph

3 Commits

Author SHA1 Message Date
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
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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
2023-03-10 13:12:23 -03:00
Martin-Molinero c4433098c3 Refactor Framework Statistics (#7041)
* Refactor framework statistics

* Further insight chart cleanup
2023-03-03 19:40:29 -03:00
Louis Szeto 9eb71e1543 Mean Reversion Portfolio Construction Model (#6519)
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* MRP

* Fix bug

* Rename

* Provide virtual `GetPriceRelative` function to override for any variants in future

* SymbolData class within model

* Address peer review

* fix bug

* revise unit test and fix bug in python model

* revise unit test and fix bug in model

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Address peer review

* Updated unit tests according to peer review

* Address peer review
2022-08-04 11:20:11 -03:00