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* Fix bug
- Add `ResetHandler()` and `IsReset` field in `CompositeIndicator.cs`
- Modify `CompositeIndicator.Reset()` to invoke the IsReset event
- Modify `VolumeWeightedAveragePriceIndicator.Reset()` method to reset
its composite indicator
- Modify `IndicatorExtensions.WeightedBy()` to register an event to the
returned composite indicator `IsReset` field
* Enhance implementation
* Address Requested changes
* Nit changes
* Nit change
* Nit change
* Address chages
- Make ResetCompositeIndicator inherit from CompositeIndicator and
override `Reset()` method
- Add ResetCompositeIndicator unit tests
- Modifiy IndicatorExtensions to keep returning the same type in
`WeightedBy()` method
* Avoid modify other IndicatorExtensions methods
* Nit changes
* Reset inner indicators and add more unit tests
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* Implement indicator history through a rolling window
* Minor changes and extend unit tests
* Add regression algorithms
* Minor changes
* Update regression algorithms examples
* Move resizing logic from IndicatorBase to RollingWindow
* Add unit tests and other minor changes
* Minor fix
* Add unit tests and other minor changes
* Add unit test
* Fix bug, add unit tests and nit changes
The bug was raised because if two inputs points with repeated close values were inserted,
and the second one had 0 volume, when the first one is removed from
_oldDataPoints, as the reamaining value of it in _volumePerPrice is
zero, that entry is removed from _volumePerPrice. Therefore, when
the second input point is removed from _oldDataPoints, this entry
is not found in _volumePerPrice. Then the changes made were:
- Modify MarketProfile.Add() method to check every removed data point is
still in _volumePerPrice
- Add unit tests to covert this change
- Nit changes in VolumeProfileTests.cs
* Fix bugs and add more unit tests
- The Fill Forward bars shouldn't be considered in the calculations as
it's not real data.
- If bar inserted is not FF but has zero volume, it could remove a price
value from VolumePerPrice and leave this sorted list empty, then each
time we access that list we need to first check it's not empty
* Enhance ComputeNextValue() and add more unit tests
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* Solve the bug and add unit test
- The bug was raised because if something went wrong trying to register an indicator with a C# or a custom consolidator the exception raised was lost, because the catch sentence didn't return it with another exception
- A unit test was added asserting a exception with a related message was raised each time something went wrong with the consolidator
* Fix bugs and enhance unit tests
* Fix bug
* Fix EMA indicator first value calculation
As done by TALib and TradingView, the first EMA value after warmup is
the SMA of the first period.
* Update TSI indicator test data
Data was exported from TradingView
* Update TRIX indicator test data from TradingView
* Update AccumulationDistributionOscillator indicator test data from TradingView
* Update Double EMA indicator test data from TradingView
* Update McClellanSummationIndex indicator test data
* Update SchaffTrendCycle indicator test data
* Update TripleExponentialMovingAverage indicator test data from TradingView
* Update stats for algorithms using EMA
* Update failing unit tests
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* Refactor alpha statistics
- Refactor alpha statistics, cleaning up and simplifying no longer required calculations and scoring
- Adding new InsightEvaluator abstraction, adding C# & PY regression
algorithms
* Optimization backtest result json converter update
* Address reviews
- Remove IAlphaHandler, move insight storage responsability to IResultHandler
and centralizing insight collection on the QCAlgorithm.Insights to be
reused by the framework models
- Fix portfolio turnover single day backtests and duplicate time
sampling handling. Updating regression algorithms
* Add InsightCollection tests and minor fixes
* Adding more & improved tests
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* Period timespan consolidation improvements
- If user is trying to consolidate a period providing data of a bigger
period we will now throw an exception. Adding tests
- If both consolidated and given data share the same period, gently
adjust the consolidator into a data count of 1. Adding tests
- Fixing bug in QuoteBarConsolidator period double accounting. Adding unit tests
* Add Period and Count regression algorithm
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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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- 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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* 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
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* Python research import improvements
- Improve start.py for research env
- Remove unrequired imports
* Centralize algorithm imports
* Add regression test GH action
* Unit test python import clean up
* Join research and main imports
* More python import clean up
* Fix failing skipped regression algorithm
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* 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>
* 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>
* 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>
* 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>
* Reduce Travis setup verbosity
* Introduce ConsoleErrorLogHandler
* Change Console.WriteLine to Log statements
* Quiet wget
* Route build stubs stdout to null
* Fix Quantbook history test
* Silence stub packages directly
* Use parameterized log-handler for testing
* Rename AssemblyInitialize Setup
* Fix AlgorithmRunner file logging
* Drop all overriden LogHandlers in tests
* Change to OneTimeSetup to maintain LogHandlers
* Permit any ILogHandler to be defined in params
* Fix for AlgorithmRunner Handlers V2
* 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>
* DataConsolidator Wrapper for Python Consolidators
* Regression Unit Test
* Refactor Regression test
* Bad test fix
* pre review
* self review
* Add RegisterIndicator for Python Consolidator
* Python base class for consolidators
* Modify regression algo to register indicator
* unit test - attach event
* Test fix
* Fix test python imports
* Add license header file and null check
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
Ricardo Andrés Marino Rojas