quantconnect--lean

Author	SHA1	Message	Date
Martin-Molinero	feff802479	Standardize trade count statistic (#7827 ) * Standarize trade count statistic * Rename 'Total Trades' to 'Total Orders'	2024-03-06 14:52:34 -03:00
Jhonathan Abreu	f298f6e21a	Handle insufficient margin for option exercise (#7828 ) API Tests / build (push) Has been cancelled Benchmarks / build (push) Has been cancelled Build & Test Lean / build (push) Has been cancelled Regression Tests / build (push) Has been cancelled Report Generator Tests / build (push) Has been cancelled Research Regression Tests / build (push) Has been cancelled Python Virtual Environments / build (push) Has been cancelled * Handle insufficient margin for option exercise * Minor change * Minor changes	2024-03-05 15:39:30 -04:00
Derek Melchin	eefa74baaa	Add Sortino ratio to statistics and report (#6698 ) Regression Tests / 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 Python Virtual Environments / build (push) Has been cancelled * Add Sortino ratio to statistics and report * Adds Sortino Ratio to Report Key Statistics * Addresses Peer-Review Reuse `SharpeRatioReportElement` and change the template. * Reuse Calculations Across Statistics and PortfolioStatistics * Adds Sortino Ratio to Regression Algorithms * Removes Sortino Ratio from Optimization Result Table --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>	2023-12-12 21:06:13 -03:00
Jhonathan Abreu	314a334e88	Price adjustment mode Order property (#7582 ) Benchmarks / build (push) Has been cancelled Build & Test Lean / build (push) Has been cancelled Regression Tests / build (push) Has been cancelled Research Regression Tests / build (push) Has been cancelled Python Virtual Environments / build (push) Has been cancelled * Add new Order.PriceAdjustmentMode property * Minor fix and unit test * Minor fix and regression algorithms' stats update * Unit test fixes * Minor fix * Set order price adjustment mode to raw always for live trading	2023-11-17 16:09:03 -04:00
Ricardo Andrés Marino Rojas	b4bad69772	Dynamically Adjust Risk Free Rate of Return (#7489 ) Benchmarks / build (push) Has been cancelled Build & Test Lean / build (push) Has been cancelled Regression Tests / build (push) Has been cancelled Research Regression Tests / build (push) Has been cancelled Python Virtual Environments / build (push) Has been cancelled * First attempt to solve the bug * Enhance implementation * Enhance implementation * Simplify implementation * Rebase regression stats * Solve unit test bugs * Review * Update Rolling.Sharpe() method * Update regression stats * Update unit tests * Update missing regression algos * Update Rolling.cs --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com> Co-authored-by: Martin-Molinero <martin@quantconnect.com>	2023-10-02 13:42:28 -03:00
Ricardo Andrés Marino Rojas	02e54d0242	Implement `OptionExerciseModelPythonWrapper.cs` (#7193 ) Regression Tests / 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 Python Virtual Environments / build (push) Has been cancelled * Implement `OptionExerciseModelPythonWrapper.cs` - Modifiy `Option.cs` to set the automatic exercise model, even if it's a python custom option model exercise model - Add `QuantConnect.Orders.OptionExercise` in `AlgorithmImports.py` - Add regression algorithms in C# and Python showing how to specify a custom option exercise model * Address required changes - Remove unnecessary constructor in ´CustomOptionExerciseModelRegressionAlgorithm.cs´ - Change `.Dispose()` in `OptionExerciseModelPythonWrapper.OptionExercise(9` to ´using´ keyword - Change `Option.SetOptionExerciseModel()` XML docs * Minor tweaks * Update CustomOptionExerciseModelRegressionAlgorithm.cs --------- Co-authored-by: Martin-Molinero <martin@quantconnect.com>	2023-04-18 16:54:53 -03:00

6 Commits