Build & Test Lean / build (push) Has been cancelled
* Implements PivotPointsHighLow indicator + tests
# Conflicts:
# Tests/QuantConnect.Tests.csproj
* Some fixes
* Refactoring + Adds NewPivotPointFormed event
* Fixing tests
* Some fixes for the Get methods to not throw when points array is empty
* To address review + more fixes
* Fixing xml comments typos
* Implements separate rolling windows to calculate highs and low
* Makes the number of last stored indicator values as an input parameter
* Overrides Reset()
* Adds a helper method
* Change numerical return to Enum types
* Changes IsReady condition :
the indicator is ready and starts calculating the pivot point when any of the rollings is ready
* Address reviews
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Build & Test Lean / build (push) Has been cancelled
* Redefine IsReady and WarmUpPeriod
* Update warm up periods of other indicators to account for ROC warmup change
* Update regressions affected by this change (because of HistoricalReturnsAlphaModel using ROC)
* Add simple unit test for issue #5491
* Cleanup warmup period math and add comments
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
* 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>
* Add SI
* Add ASI
* Add Swing Index
* Add Accumulative Swing Index
* Fix XML comment
* Add SI and ASI
* Add test data
* Add SI tests
* Add ASI tests
* Convert get only properties to methods
* Fix indicator name
* Replace special characters
* Fix indicator formula
* Replace test data
* Replace test data
* Update QCAlgorithm.Indicators.cs
* Minor format tweaks
Co-authored-by: Jared <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* Reconcile duplicated code
* Add License header
* CS0219 Fixes: Value assigned, but never used
* CA1507: Use nameof in place of string literals
* CS0108 : Hides Inherited Member; Use new keyword to overwrite formally
* CS0114: Hides inherited member; use override keyword
* CS0168: Variable is declared but never used
* Tests CS1062; using obsolete implicit Symbol -> String; fix via .ToString()
* CS0472: Non Nullable Obj getting Null Checked
* CS0067 Member not used; ignore all cases for future use
* CS00162 : Unreachable code; either removed or ignored for debugging and test cases
* CS0169 Remove non-used fields; ignore those that may be used in future
* CS0414; Field is assigned but never used.
* CS0618; Obsolete properties and members; Only fixes simple ones, rest will have to broken up
* CS0649; Field never assigned too
* CS0659 & CS0661 ; Overwrite operators and equals but not hashcode; I don't really override it but just call base
* Small comment fix
* Cleanup pragma statement
* RollingSharpeRatio Submission
Creation of RollingSharpeRatio indicator, utilizing LEAN engine. Tests were created and successfully passed by the indicator, using spy_rsr.txt as outside data file which was created during a prior running of the program.
* Fixed Test Case Loading and Added Indicator Function
Added the RSR() function to auto load the indicator in Algorithm\QCAlgorithm.Indicators.cs. Also added a reference for the test file ("spy_rsr.txt") in Tests\QuantConnect.Tests.csproj.
* Fixed SharpeRatio Indicator
Updated the base formula, indicator structure/call, and the testing data for the SharpeRatio indicator.
* Minor Fixes
- Removed dividend yield from calculation
- Fixed typos in code/documentation
* Minor Style Fix and Error Confirmation
- Changed style to match style guide better.
- Checking for confirmation that QuantConnect.Tests.Engine.DataFeeds.LinveTradingDataFeedTests.DelistedEventEmmited_Equity() is server side, as it runs locally and should not have been affected by prior changes
* Simplification and fixing of SR calculation
- Updates calculation to proper SR formula
- Utilizes IndicatorExtensions for SR calculation rather than manual calculation
- Defines counter for 1 extra period offset on warmup (otherwise first datapoint is inaccurate if warmup period is SharpePeriod length)
* Minor Fixes
- Removal of SharpePeriod and RiskFreeRate variables
- Substitution of (SharpePeriod + 1) for WarmUpPeriod
- Outdated comment fixes
* Resubmission for Mono Confirmation Error
Error detected on Git for this version of the program. An error should not occur as only comments and minor variables were edited. Resubmitting to see if it is a false positive mono error.
* Notation Fixes
Fixed notation regarding spacing and outdated comments.
* Removal of Counter Logic
- Replaces counter for warmup with improved IsReady logic
* Fixed Syntax
- Removed unused imports
- Fixed variable readability
- Fixed comments
- Replaced Tabs with spacing
Co-authored-by: quantify-cflynn <quantify-cflynn>
* 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
* Cleans history for ArimaIndicator/TimeSeriesIndicator.
-- removes commits from a tracked, already merged branch
-- removes artifacts from debugging sessions
* Removes AR/MA method as a user-specifiable method.
-- Prevents need to reference dll for MathNet in Tests (and potentially elsewhere).
-- Wrapper can be implemented around this functionality.
* Removes AR/MA method as a user-specifiable method.
-- Prevents need to reference dll for MathNet in Tests (and potentially elsewhere).
-- Wrapper can be implemented around this functionality.
* Better adherence to established code style
* Makes _intercept = true by default in constructor where it is not parameter
* WIP -- addressing reviews
* Passing tests following prior refactor
* Rearranged code, access modifiers adjusted
* Fixed indexing of _mafits, adds example algorithm
* Adds regression algo in python + addresses some refactors
* Addresses review
* Adds regression stats
* Fixes missing value signs
* Removes redundant code
* style changes
* style changes
* style: "err" -> "error"
* Minor tweaks
* Fixes python arima regression test
* Refactors AutoregressiveIntegratedMovingAverageTests.cs
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* 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
* Fix MACD WarmUpPeriod and Updating
* Add System to use Math library
* Fix WarmUpPeriod math and add tests
* Fix SchaffTrendCycle Indicator WarmUpPeriod
* Ensure fastPeriod < slowPeriod
* Minor tweaks
- Remove unrequired Math.Max operation
- Remove unrequired changes in solution file
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Adds DeM indicator
* Added reference to param movingaverage type
* Fixed variable declarations
* Added nameless initialize
* Missing DeM "type" args added
* Missing DeM "type" args added
* refactor
* Undid _previousInput → protected
* Demarker symbol: DeM →DEM
* Symbol change: DeM → DEM
* Updated symbols
TestDivByZero originally had dem as cmf.
* Symbol: DeM →DEM
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
* Adds the awesome oscillator.
* added missing type hint for AO
* cleaned initializations
* refactor in call for AO(fast,slow,type)
* added missing type parameter for AO
* Changes AO sub-indicators to public.
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
* Added CMF indicator
CMF is a volume-weighted average of accumulation and distribution over a period.
* Added initializer for CMF
Registration for ChaikinMoneyFlow implemented.
* Added CMF tests.
* Added CMF tests.
* spy_cmf.txt changed to external indicator data.
* Implement suggestions of @AlexCatarino
* added sum terms as subindicators.
* added sum terms as subindicators.
* Removal of vestigial rolling window
* Minor nit changes
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Create EaseOfMovementValue.cs
Added ease of movement file
* Update EaseOfMovementValue.cs
Added calculation for EMV and return its value
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Rearranged code and removed all IndicatorBases
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
Added Min and Max Indicator
* Added Tests and Compile
* Fixed Bugs and Removed Reset
* Added Current Value and revereted to Bar data
* Fixed test file and refined indicator file
* TradeBar to IBaseDataBar
* Bug fixes
* bug fix
* Switching to TradeBar and attempting to fix Volume bug
There are two bugs that I have been having trouble fixing. 1. Cannot implicitly convert decimal to int (simple fix but cannot find where bug is taking place)
2. IBaseDataBar does not contain a definition for Volume
* Update EaseOfMovementValueTests.cs
* bug fix
* added data
* updated assertion
* added reset
* Update EaseOfMovementValueTests.cs
* Update EaseOfMovementValue.cs
* Update spy_emv.txt
I had the wrong test data in. Was throwing failed test for many pull requests.
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Cleaned Data
* Bug fixes
Fixed zero division error. Used better Test Data.
* removed readonly from _previous...price
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* bug fix
* Test Bug Fix
* EMV data from online
* Cosmetics
* Out of bounds fix
* Update EaseOfMovementValueTests.cs
* Update spy_emv.txt
* Update spy_emv.txt
* Added changes requested
Placed constructor first, fixed nullable type if statement, set 10,000 to default argument, added SMA.
* Update EaseOfMovementValue.cs
added variables
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Update EaseOfMovementValue.cs
* Fixed bugs
* Changed Delta, Added Assert
Create Indicator -> Update EMV -> Assert Status. Also changed delta from 1 to 0.000001 to improve test accuracy.
* Added unit test testing the SMA
* track previous input per symbol
* improve Arms Index period checks
* don't need to be thread safe due to consolidators update are sequential
* Use TryGetValue for performance
- Minor update for AdvanceDeclineIndicator to use TryGetValue to reduce
amount of dictionary access
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Martin-Molinero