Commit Graph

4 Commits

Author SHA1 Message Date
Martin-Molinero bbbab6d9a8 Refactor alpha statistics phase I (#7055)
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Martin-Molinero f0b59a72fd Fix Train method during warmup (#6416)
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
- During warmup period the algorithms initial time might not be a rounded date
  value, so it's important to take into account hours/minutes. Adding
  regression algorithm reproducing and asserting issue
2022-06-21 10:05:27 -03:00