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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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* Updates KeltnerChannels to Update MiddleBand with EndTime
* Adds Unit Test
This unit test shows that the timestamp of the MiddleBand and the indication are aligned as expected.
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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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* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
* Fix bug and add more unit and regression tests
* - Add more unit tests
* Nit change
* Test cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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- Remove unnecessary attribute `_period` in MarketProfile
- Set the value of WarmUpPeriod to the period in MarketProfile constructor
- Fix unit test to check VolumeProfile and TimeProfile indicators are being warmed up properly and its WarmUpPeriod parameter isn't zero
* Implement IIndicatorWarmUpPeriodProvider
- Implement IIndicatorWarmUpPeriodProvider in PythonIndicator.cs
- Make a unit test to check whether the WarmUpPeriod is working as expected
- Make a regression test to check the new feature at a system level
* Nit change
* Change Period parameter for WarmUpPeriod parameter
- Change regression test to check if the new parameter keep backwards compatibility with indicators that do not set WarmUpPeriod
* Documentation change
* Fix tests bugs
- In CommonIndicatorTests.cs before finish the test it checks the period.value with the number of samples but for default the period.value was set to -1
* Change names
* Change WarmUp and RegisterIndicator methods
- Lean WarmUp indicator skip custom python indicators that don't define WarmUpPeriod parameter
* Call WarmUpIndicator manually
- Add a new "bridge" method called WarmUpIndicator in QCAlgorithm.Python.cs to set up everything to call WarmUpIndicator in QCAlgorithm.Indicators.cs
- Change the regression algorithm to warm up the indicators manually
* Remove unnecessary code and add more tests
* Nit change
* Revert "Nit change"
This reverts commit da411f59c9e4295d75a11c6c581f615a938dd2c6.
* Fix bugs
* Try fix bugs
* Add C# regression test
- More nit changes
- Fix bugs
* Requested changes
* Remove unnecessary code
* Requested changes
* Nit changes
- Add new Python class to check a custom indicator, which doesn't inherits from PythonIndicator, warms up properly
* Reduce redundant code
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* Add base class for pivotpointshighlow
* abstracts do not work well with python switch to virtuals and use pivotpointhighlow as base implementation
* added missing documentatino header
* moved reset back to original location
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- Implement IIndicatorWarmUpPeriodProvider interface in both indicators
- Add test to check the new functionality is working as expected. To test WindowIndicator IIndicatorWarmUpPeriodProvider there was used WindowIdentity indicator tests because that indicator only inherits from it
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* Refactor for two types in composite indicator
* Fixes for unit tests
* Non generic indicator base
* Further seperate non-generic indicator base and generic input base
* Adjustments
* Remove generic CompositeIndicator
* Add test suite
* Make each method an individual case
* Address review
* Testing cleanup
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* Add ValueAreaVolumePercentage Parameter
Remove hard coding of parameter and set it to optional parameter for the user.
* Update TimeProfile.cs to include valueAreaVolumePercentage parameter
* Update TimeProfile definition in QCAlgorithm.Indicators.cs
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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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* Added Augen Price Spike Files
* AugenPriceSpike Update
Adjusted indicator calculations and added test data from Trading View
* Requested Changes
* Minor changes
Build & Test Lean / build (push) Has been cancelled
* Stop update when properties will fail to update
* Only enforce our case after the BB is ready
* Nit comment fixes
* Add unit test
* Use faster DateTime.UtcNow
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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>
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* 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
Martin-Molinero