The old description is incorrect. A stock can have positive Alpha but have negative Beta. In this case, if the benchmark increases, the performance of the stock may be dominated by its negative Beta, causing it to underperform the benchmark.
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* Adds Unit Tests for ParseFutureSymbol
Tests:
- Ambiguous year with missing decade
- Non-ambiguous known year
- Expiring before 2000
* Fixes Missing Decade Tests
If the ticket doesn't provide a decade, VXZ2, we assume the current decade. So VXZ2 expires on Dec 2022.
* Fixes SymbolRepresentation.ParseFutureSymbol
Use the value of `futureYear` to handle contracts that expire before 2000. (E.g.: NQZ99).
Tickers from live trading may not provide futureYear. Use the current decade (2020).
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- Fix bug where there might not be any data to sample. Adding unit test
- Fix bug where candlestick sampling might add point which shouldn't be
there. Adding unit tests
- Adjust series json converter to serialize any base series type. Adding
unit test
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* Add Sortino ratio to statistics and report
* Adds Sortino Ratio to Report Key Statistics
* Addresses Peer-Review
Reuse `SharpeRatioReportElement` and change the template.
* Reuse Calculations Across Statistics and PortfolioStatistics
* Adds Sortino Ratio to Regression Algorithms
* Removes Sortino Ratio from Optimization Result Table
---------
Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
* Add support for null chart points
- Add support for null value chart points, updating existing and adding
new unit tests
* Minor selfreview tweaks
* Address review & fix deserialization bug
* Ignore null values when using NullResultValueTypeJsonConverter
* Narrow NullResultValueTypeJsonConverter conversion support
* Allow inherit of series sampler
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* Solve bug and add unit test
The bug was raised when the sum of the True Range values was zero. Since
the Ultimate Oscillator provides a more reliable indicator of momentum,
if the prices don't change, its value should be zero, as there is no
acceleration of a security's price.
* enhance implementation
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* Index.IsTradable Can Be Set
Indices are not tradable. LEAN will not set it to `true`, but the users can for backtesting.
* Adds Regression Tests
* Revert Changes to ProcessSecurityChanges
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After running the regression tests in my local pc, I found some of them
were failing in the stats. Then, after debugging them I realized it was
because some of the strings were being casted without using
InvariantCulture parameter.
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* Update Future-cme-[*] and Future-cme-ES
Acoording to `pandas_market_calendars` there were some dates in
Future-cme-[*] who wasn't early_closes, so they needed to be removed
from there. On the other hand, the early closes list of Future-cme-ES were
shifted by 1 hour according to CME webpage. Besides, there were some
missing dates.
* Update CME Future entries in MHDB
* Rebase
* nit change
* Fix unit tests
* Resume after early close/halts
* Add missing dates in MHDB and fix bugs in it
* Fix bug, add more unit tests and add docs
* fix regression algos
* address required changes
* Update failing regression test stats
After debugging the tests it was found they were failing due to the last
change on SecurityExchangeHours.IsOpen(). That method wasn't taking into
account that even if there is a late open after an early close if the
timespan is after the early close but before the late open, the market
is still close.
* enhance solution
* Update and fix bugs in MHDB
* Address required changes and update stats
* Update stats after rebase
* Nit change
* Missing update to regression test
* Use MHDB instead of USHoliday for Expiration Dates
VIX expiry function now relies completely on MHDB. However, it had to be
created an entry in MHDB for VIX since there wasn't one for it. CBOE
webpage only provided 2023 holidays so only those dates were considered
in the Holidays entry in MHDB. Therefore, some unit tests failed so it
was necessary to change also the VIX entry in FuturesExpiryFunctionsTestData.xml.
* Remove Global.cs/USHolidays class
* Use a lazy implementation
* First draft of the solution
* Use MHDB in FuturesExpiryFunctions.cs
* Remove unused class and fix indentation errors
* Fix indentation errors
* Nit changes
* Merge branches 7501 and 7506
* Merge changes in 7501 and 7506
In order to check compatibility between those branches, a new branch
was created out of branch 7501 and then it was merged with branch 7506.
2 regression tests and 8 unit tests failed, the regression tests failed on
the DataPoint stats. On the other hand, the unit tests failed since the
default parameter UseEquityHoliday was removed from
FuturesExpirtyUtilityFunctions.AddBusinessDays() and from other methods in
the same class too.
* Add missing changes
* Remove repeated good fridays
* Address minor review
---------
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* feat: ETFConstituentsModel overloading constructor
* test
* feat: new constructor of ETFConstituentsUniverse
test: support all constructor on c#
* feat: cached symbol in ETFConstituentsUniverse.py
test: validate getting symbol from cahed collection
* remove: extra ctor in ETFConstituentsUniverseSelectionModel
* refactor: add miss condition secType in py
refactor: rename out existTicker -> Symbol
refacotr: rewrite test
* feat: new ETFConstituentsFrameworkAlgos
* refactor: more neat ETFConstituentsAlgos
* fix: CompositeUniverse to SetUniverse
* Implement risk free interest rate as an algorithm model
* Use risk free insterest rate model in Sharpe Ratio indicator
* Address peer review
Also added python wrapper
* Take pyobject as interest rate model in Sharpe Ratio indicator
* Minor fix
* Minor fix
* Address peer review
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* Fix using brokerage transaction handler algo befor set
Brokerage open orders are being set before algorithm is set to the transaction handler, so SetPriceAdjustmentMode needs to get the algo to use
* Update unit tests
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* Add new Order.PriceAdjustmentMode property
* Minor fix and unit test
* Minor fix and regression algorithms' stats update
* Unit test fixes
* Minor fix
* Set order price adjustment mode to raw always for live trading
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* Shortable modeling improvements
- Do not limit live trading because of shortable model, will send
algorithm warning
- Add Interactive brokers shortable provider
- Minor LocalDiskShortableProvider API changes
* Fix shorted order update
- Fix shorted order update. Updating regression algorithm
* Minor improvement
* Address reviews
* Improves Error Handling in OptionPriceModelResult.Evaluate
Use the maturity calculation to calculate dividend and risk free discount to prevent the `negative time` error.
Adds Exception Message and StackTrade to `DebuggingEnabled` messages.
* Set Evaluation Date Before Every Calculation
Adds loggings to record the reference date which is set by the `Settings.setEvaluationDate` method.
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- Once a security has been delisted or no longer selected by any
universe it will be remove from the main algorithm securities
collection but kept in the new Complete collection, this improves
performance in long running backtests where security collection can
get enumerated in different cases
- Minor refactor for security exchange local time to avoid having to set
it explicitly
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* correlation as lean indicator #6983
* correlation as lean indicator #6983, added SPY QQQ test and Spearman test
* correlation as lean indicator #6983
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, fixes after review
* correlation as lean indicator #6983, added AcceptsQuoteBarsAsInput Test
* Minor review changes
---------
Co-authored-by: Grzegorz Wodnicki <info@funchips.co.uk>
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* Store traded securities subscription data configs to disk
* Delegate traded subscriptions storage to the data monitor
* Add unit tests
* Address peer review
* Minor changes
Martin-Molinero