Commit Graph

5 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 40bff6efb7 Oanda trading hours update (#6998)
* Update Oanda's Forex and Metals CFDs trading hours in the MHDB

* Fix failing unit tests

* Update regression algorithm statistics

* Fix failing unit tests

* Minor changes
2023-02-24 10:14:55 -03:00
Jhonathan Abreu ebb31d0fb4 Unsettled cash conversion rate update (#6961)
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* Update unsettled cashbook cash conversion rates

Also moved conversion rate holding from Cash to the CurrencyConversion
instance

* Minor fixes

* Peer review

* Minor fixes

* Minor fixes

* Minor fixes
2023-02-14 18:19:25 -03:00
Jhonathan Abreu e30232e21b Portfolio.UnsettledCashBook update when quote currency is not the account currency (#6871)
* Tracking unsettled cash for non-USD account currency

* Add unit tests

* Peer review

* Move and rename CashBook.UpdateType to Globals
2023-02-09 12:53:52 -03:00