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11 Commits

Author SHA1 Message Date
Jhonathan Abreu 3c6ae2f1e7 Fix report's exposure plot colors and other bugs (#6580)
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* Use correct colors in report's exposure plot

* Add 12 month rolling sharpe to report plot

* Housekeeping

* Fix failing unit tests
 2022-08-25 12:28:22 -03:00
Jhonathan Abreu eddd28243b Show backtest and live runtime days in report (#6561)
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* Show backtest and live runtime days in report

* Show live or backtest runtime days in report stats

* Housekeeping
 2022-08-22 12:12:19 -03:00
Gerardo Salazar 0645513f5e Capacity estimation in report generator (#5318) 
* Adds strategy capacity estimation in report generator

* Style and license fixes

* Adds comments, constants, and new method accessibility

* Removes unneeded imports
 2021-02-18 17:51:40 -08:00
Gerardo Salazar 7d93f43d38 Calculate more report elements using LiveResult data in report generator (#5300) 
* Calculate PSR for live algorithms in report generator

* Use live series for calculating of CAGR, Max DD, and PSR

  * Removes Kelly Estimate from report and template.html

* Update template.html

* Rolling Beta bug fix when using daily data

  * Max drawdown output as percent

* Make days live report element use equity curve last day instead of today

Co-authored-by: Jared <jaredbroad@gmail.com>
 2021-02-15 19:56:52 -08:00
Gerardo Salazar f5e730d776 Re-enable second page of reports generation (#5294) 2021-02-11 17:12:30 -08:00
Gerardo Salazar 40c3062348 Improves Report Generator stability and fixes various bugs (#4759) 
* 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
 2020-09-29 10:03:26 -03:00
Gerardo Salazar 2bce084546 Embeds report stylesheet in the output file. 
This is done to make the HTML for the report a standalone page
without requiring the user to provide the *.css file along with
their report
 2020-02-10 17:27:23 -08:00
Gerardo Salazar 5d663e8944 Fixes various issues 
* Fixes issue with how cumulative percent change was calculated
* Reworks PercentChange extension method
* Fixes PortfolioLooper leverage calculation
* Disable page 2 of reports
* Fix issue where missing values produced misaligned shape in
AnnualReturnsReportElement.cs
 2019-12-31 17:37:19 -08:00
Gerardo Salazar eb6e13d91f Fixes many issues and refactors some of the report creator 
* Can handle null Result packets
* Created utility files
* Added various helper methods to PortfolioLooper
* Fixes build issue by removing System.Collections.Immutable
* Updates plots to show "Insufficient data" when it can't be created
* Hides empty crisis page
* Fixes wkhtmltopdf display bug
* Removes Calculations.cs
* Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm
* Add null value handling in OrderJsonConverter
* Various bug fixes
* Fixes broken ReportChartTests.py
* Adds leverage to PointInTimePortfolio
 2019-12-18 16:10:56 -08:00
Gerardo Salazar d7c7082543 Fixes bug preventing successful execution of the program 
* Restyles and reworks some of the cumulative percentage gain graph
 2019-12-18 16:08:40 -08:00
Jared Broad f66a682f63 Debug commit 2019-12-18 16:08:40 -08:00