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* Indicator
* Fixed logic error
* Removed old files, added KER into KAMA
* Removed old comments
* Added requested changes
* Minor clean up
* Refactors KaufmanEfficiencyRatio and KaufmanAdaptiveMovingAverage
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Super Trend Indicator #4653
* Updated test data
Previous test data was wrong
* Reduced if statement
* Updated tests
Replacing spy test data with dwac test data from trading view.
* Minor comment update
* Minor tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* First BetaIndicator prototype
- In construction
* Fist BetaIndicator version and unit tests
* More unit tests and regression test
* Nit change
* Requested changes
* Nit changes
* Requested changes
* Adjust beta formula slightly and nit changes
* Nit change
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* Create Market Profile indicator.
* - Requested changes in MarketProfile indicator made it.
- TimeProfile and VolumeProfile created and tested.
- tp_datatest.csv and vp_datatest.csv extracted from https://github.com/bfolkens/py-market-profile
* Final potential Market Profile Indicator.
All unit test made it and the indicator is passing all of them
Test cases made it with python library from GH issue
* Code styling request changes
* Minor suggestions
* Minor renaming tweaks
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
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* Added Augen Price Spike Files
* AugenPriceSpike Update
Adjusted indicator calculations and added test data from Trading View
* Requested Changes
* Minor changes
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* Updates Equity Market Data
* Updates Unit Tests
* Updates Regression Tests
In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update.
* Updates Regression Tests 2
The following regression tests were adapt because of verification of hard-coded market data values:
- `AdjustedVolumeRegressionAlgorithm`
- `HistoryWithSymbolChangesRegressionAlgorithm`
- `OptionRenameRegressionAlgorithm`
- `RawDataRegressionAlgorithm`
- `SwitchDataModeRegressionAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35
- `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324
- `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86
- `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90
- `SectorExposureRiskFrameworkAlgorithm` 17 -> 22
- `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9
- `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199
- `UniverseUnchangedRegressionAlgorithm` 11 -> 17
- `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238
Especial cases:
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17
- BLM model sensibility
- `OptionChainedAndUniverseSelectionRegressionAlgorithm`
The following regression tests have different Capacity because of different volume from lowest capacity asset, except:
- `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying
- `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying
* Revert File Update for SPWR and SPWRA
* Fix Regression Tests
Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match.
* Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py]
Uses `trust-constr` method.
See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html
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* 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>
* 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>
* 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>
* 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>
* Creates IShortableProvider interface + interface impls
* This is the foundational work for the addition of the shortable stocks
feature for backtesting and live trading. Note that the QCAlgorithm
API and the backend transaction handling will be implemented
separately.
* temp; work on preorder checks
* improve checks
* tmep
* Enforces ETB checks at BrokerageTransactionHandler
* Adds ETB Shortable Provider to QCAlgorithm and IAlgorithm
* Removes ETB check from PreOrderChecksImpl
* Removes outdated test, new test to come soon for relevant class
* Work in progress commit, pushing for review.
* Adds new regression algorithm (WIP)
* Enhances ShortableProviderOrdersRejectedRegressionAlgorithm
* Adds new methods to QCAlgorithm
* Move IShortableProvider to have BrokerageModel own it
* Comments updates
* Adds new properties to Equity Security for shortable
* Fixes bug where retrieving open order quantities would aggregate the
submitted order quantity rather than the remaining order quantity for
open orders.
* Fixes bug where quantity of zero would result in a
false positive in QCAlgorithm.Shortable(...)
* Code refactoring and comments updates
Co-authored-by: Jared <jaredbroad@gmail.com>
* change filename template. add fillforward resolution suffix
* replicate GH issue 5116 on master
it's easy to reproduce on FXCM market by using data resolution different from fillforward resolution.
in this cases daily vs hour/minute were added
* change priorities of Time & EndTime values.
it's necessary to calculate EndTime properly, and then we can align Time to it.
potential end time should be also calculated using ptoper TZ. Because of we store open hours without TZ movement TZ in market-hours it's necessary to reapply TZ
fix tests
* Miss 2AM bar on Sunday of DST; FF 2AM bar on Sunday ST
* use UTC TimeZone as baseline during comparison
* test
* wip
* Revert "Fix duplicated history entries when contains daylight saving time change (#4700)"
Use proper rounding down
* regression test
* remove unused parameters
* more tests
* fix name and comment
* improve regression test
* more tests: oanda market hours
* re-apply Exchange TZ to bar EndTime
* fix expected results
* we can't substract minute because it can harm algorithm on minute resolution; so we could use tick?
* rename prop: conflict with QCAlgorithm.StartDate
* do not log messages to pass travis ci log limit
* assign loghandler in AlgorithmSetupHandler
* reference to PR for more description
* due to https://github.com/QuantConnect/Lean/pull/5039 we don't need to override it manually
* 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>
* Fixes inability to parse negative strike prices in SecurityIdentifier
* Adds new tests ensuring backwards compat and no throwing w/ negative
strike prices
* Changes strategy used to support negative strike prices
* We add support for negative strike prices at the cost of
reducing the maximum allowed precision for the strike price.
We encode a negative sign into the 20th bit of the strike price
and set our bounds for precision to a max (exclusive) of 475712.
This in turn is then used to form a negative strike when rebuilding
the SID.
* Adds tests covering changes
* Address review: adds additional tests and refactors code
* Address self-review: remove unused import in SymbolTests
* Address review: adds additional test cases for OptionStyle and OptionRight
* These tests are to ensure that backwards compatibility is maintained
* Addresses review: Adds option chain <-> master SID hash test
* Refactors previous tests to reduce on code duplication
* Reduce test duplication
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* GDAX Brokerage updates
- Replaced fill detection from trade stream with monitor task
- Order fees for fills are now the real fees paid (previously they were calculated by the brokerage model)
- All unit and integration tests are green
* Address review
- Remove unnecessary signals
- Add "gdax-fill-monitor-timeout" config setting
* Remove user channel
* 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
- Add more fill forward unit test including a weekend using different
combinations of resolutions
- Add required AIG second data file
- Avoid list in most common FF case
- Updates `DropboxUniverseSelectionAlgorithm` and `DropboxBaseDataUniverseSelectionAlgorithm` with new links to Dropbox files and date range to match the dates in the files.
- Adds copy of files in `TestData` folder.
- Use `/usr/share/nltk_data` instead of `/root/nltk_data`.
- Adds test for NLTK.
- Tidies the root directory of the docker image
- Adds support to mlfinlab
AJY, AKL, AKZ, ANE, APS, AR0, ARE, AUP, AVZ, AW, AYV, AYX, AZ1, B0, B7H, BCF, BIO, BK, BOO, BR7
Correct wrong entry for symbol ZT in symbol-properties-database
Add missing holidays or early closes for energies and fx in mhdb
Jovad Uribe