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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
Stefano Raggi 84555a80ad Fix AlgorithmPerformance property setters for JSON deserialization 
AlgorithmPerformance, PortfolioStatistics and TradeStatistics had private setters, so JSON deserialization could not populate their properties.
 2017-06-26 17:21:48 +02:00
Stefano Raggi fac6f46a9a New Statistics implementation 
Added Trade and TradeBuilder classes
Added UtcTime and OrderFee property to OrderEvent class
Added AlgorithmPerformance class with a few metrics + tests
Added portfolio statistics + rolling statistics

Closes #30 via PR #164

Thanks @SteffanoRaggi!
 2015-09-16 20:48:02 -04:00