Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
* Update projects to use .NET 5.0, the successor to .NET Core
* Fix ambiguous errors. Add IBAutomator net5
* Remove FXCM
* Upgrade IBAutomater to v1.0.51
ignored, and an empty message aborts the commit.
* Fix rebase
- Fix ambiguous Index
- Remove StrategyCapacity.cs
- Update System.Threading.Tasks.Extensionsy
* Remove unrequired references
* Fixes
- Travis will use dotnet, not nunit nor mono
- Remove mono from foundation image
- Fix python setup in research
- Fix unit tests
* Don't call ReadKey when input is redirected
* Fix ConsoleLeanOptimizer
* Research fixes
* Update comment
* Add vsdbg to Dockerfile
* Fixes
- Revert dockerfile FROM custom changes
- Adjust and fix regression algorithms
- Option assignment will be deterministic in the order
- 'Rolling Averaged Population' is calculated using doubles, updating
expected values.
- Update readme, removing references to mono
- Add missing Py.Gil lock
* Replace ICSharp with .NET Interactive
* Fixes after rebase
* CSharp research fixes
- Adding new Initialize.csx that pre loads all assemblies
- Adjusting template research file
- Moving steps in dockerfilejupyter
- Fix unit tests and regression tests after rebase
Co-authored-by: Gerardo Salazar <gsalaz9800@gmail.com>
Co-authored-by: Stefano Raggi <stefano.raggi67@gmail.com>
Co-authored-by: Jasper van Merle <jaspervmerle@gmail.com>
* Update to new QC PythonNet
* Update readme
* Remove Python.Runtime config, replaced by env var
* Allow local packages testing in repo
* Address Review
* Add the LocalPackages readme
* Update Jupyter Image
* Update Research ReadMe
* Updates NodaTime to version 3.0.5
* Updates code to ensure compatibility with new NodaTime version
* Updates System.Runtime.CompilerServices.Unsafe to 5.0.0
- Required by NodaTime
* Adds comments explaining changes in NodaTime
* Migrate to newer CSProj format; build succesful
Rebase onto master
* Maintain binaries directory
* Reinstate FSharp default condition
* Remove reference to packages.config
* Test project fixes
* Remove nuget.config and "Solution Items"
* Remove repetitive assembly info
* Reinstate default compiles and cleanup redundant settings
* Reinstate any specific settings that defaults are unclear for
* Reinstate Framework.nuspec
* Make test internal classes public for composer use; undo assembly change
Rebase onto master part 2
* Address review; restore some settings
* Restore RootNamespace and AssemblyName attributes
* Use NugetPackageRoot instead of NugetPackageFolders
* Reinstate "RestorePackages" setting
* Transfer compilied Python files to launcher and tests bin
* Remove conflicting settings
* Fix WebSocketSharpFork references
* Fix FSharp Core reference
* Upgrade TestPlatform.ObjectModel to 16.8.3, and redirect V11 binding
* Add Mono.Cecil package
* Address review
- Adding new `ConfidenceWeightedPortfolioConstructionModel` (C# / Py) that will
generate percent `Targets` based on the latest active `Insight` `Confidence` per
`Symbol`.
- Will ignore `Insights` that have no `Confidence`.(unit tested)
- If the sum of all the last active `Insight` per `Symbol` is bigger than 1, it
will factor down each target percent holdings proportionally so the sum is 1. (unit tested)
- Adding unit tests
- Adding a new regression test framework algorithm (C#/Py)
-**Note**: `ConfidenceWeightedPortfolioConstructionModel` inherits from the `InsightWeightingPortfolioConstructionModel`. Protect method `GetValue` was implemented in `IWPCM` to enable the choice of `Insight` member.
- Creates `CustomUniverseSelectionModel` that mimics `QCAlgorithm.AddUniverse(String, Func<DateTime, IEnumerable<string>>)`
- Replaces `BaseETFUniverse` for `InceptionDateUniverseSelectionModel` that inherits from `CustomUniverseSelectionModel`
- ETF Basket USMs inherits from `InceptionDateUniverseSelectionModel`
Adds `BaseETFUniverseSelectionModel` that handles the common universe selection logic for all ETF Basket.
Adds the following ETF Baskets:
- Energy
- Precious Metals
- S&P500 Sectors
- Technology
- US Treasuries
- Volatility
Martin-Molinero