* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
* Fixes potential mapping issue, caused by not mapping Symbols before
reading data off disk
* Fixes issue where some results would evaluate to zero capacity
* Loads of refactoring, mostly resulting in cleaner code
* Improves stability and fixes various bugs
* Adds unit tests covering changes
* Adds COVID-19 crisis plots
* Adjusts styling of crisis plots for more pleasant viewing
* Fixes bug where null BacktestResult caused application to crash
* Order JSON bug fixes and stability improvements
* MaxDrawdownReportElement now produces results for Live
* Replaced Estimated Capacity w/ Days Live
* Added Live marker to sharpe ratio
* Added support for MOO and MOC orders in PortfolioLooper
* Address review: adds new unit tests and cleans up code
* Bug fix: use LastFillTime instead of Order.Time for MOO and MOC
* Address review: Fixes tests and cleans up code
- `UniverseSelection` and `Research` will always use
`AlgorithmHandler.DataProvider` instance instead of
`DefaultDataProvider`
- Remove Compression at test/app.config since the dll isn't required
- Add missing license header
- Adding new DataPermissionManager that will own the existing
datachannelProvider. Will assert configurations before added to the
data feed. Adding unit tests
We now will calculate all of the metrics needed to directly plot the
data in C# instead of doing calculations in Python.
This has added benefits in that the code can be easily reused to generate
plots from Result packets and makes the underlying plotting library we
use more extensible and replaceable.
* Adds Calculations.cs
* Refactors some of ReportCharts.py
* Adds Drawdown classes
* Adds Deedle and MathNet.Numerics packages
* Completes calcuations in C# side instead of Python
Side note: I think it's a little funny that we were previously
calculating the plots via Pandas, which uses a C backend. Effectively, we
were transferring data between at least 2 separate FFI
boundaries: C# -> Py -> C -> ? (whatever BLAS is written in)
Jasper van Merle