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
Jhonathan Abreu 41a730bc68 OTM option excerise orders improvements (#6767)
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* Set fill price to zero in OTM exercise orders.

Improved the OTM exercise orders message.

* Update regression algorithms and unit tests

* Add IsInTheMoney property to OrderEvent

* Update SerializedOrderEvent

* Properly setting the option exercise order price to strike price or zero

* Minor changes

* Minor changes
2022-12-06 14:30:40 -03:00