Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Syntax Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Implement a prototype of the maximum recovery time function.
* Add unit test skeletons.
* Add failing test
* Issue #4581: Implement MaxDrawdownRecoveryTime.
* Issue 4581: Add DTO for Drawdown Percentage, Drawdown Enddate, and High Value
* Issue 4581: Fix bgu for when lDrawdowns list is empty.
* Issue 4581: Change names of tests. Change name of file.
* Issue 4581: Make adjustements to flow of adding drawdowns to lDrawdowns.
* Issue 4581: Add multiple unit tests.
* Issue #4581: Change name of unit test
* Issue #4581: Add to PerformanceMetrics
* Issue #4581: Add Maximum Drawdown Recovery to PortolioStatistics class.
* Issue #4581: Add to portolfio statistics class.
* Issue #4581: Add to statistics builder.
* Issue #4581: Add report key.
* Case #4581: Convert to decimal.
* Issue #4581: Correct comment.
* Issue #4581: Correct performance metrics view model string.
* Case #4581: Correct statistics builder view model string..again.
* Issue #4581: Placed DradownDradownDateHighValueDTO at the end of the file for simpler diff.
* Issue #4581: Add 2 new tests.
* Issue #4581: Change algorithm so that when multiple maximum drawdowns occur, the longest of all recoveries is reported.
* Issue #4581: Add unit test.
* Issue #4581: Remove reportkey. Change dto name.
* Issue #4581: Change summary.
* Issue #4581: Change comment.
* Add max drawdown recovery calculation with unit tests
* Update regression algorithms with the new metric
* Solve review comments
* Update regression algorithms
* Add TryGet to safely get the key: MaximumDrawdownRecovery
* Ignore MaximumDrawdownRecovery metric in OptimizationBacktest Json
* Revert changes in Messaging
* Update regression algorithms
* Add test case: TakesLongestRecoveryAmongMultipleDrawdowns
* Use integer days for MaximumDrawdownRecovery
* Add MaximumDrawdownRecoveryReportElement
* Use more explicit names
* Rename files and variables for consistency
* Update regression algorithms
---------
Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
Build & Test Lean / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Adds example of custom signal exports.
- SignalExportManager send signals automatically after 5 seconds.
- Missing example and Python support.
* Updates Examples to Disable Automatic Export
* Addresses Peer-Review
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Inicial solution
* Use InitialMargin instead of MaintenanceMargin
* Addressed review comments
* Update unit test
* Refactor GenerateOptionTicker method to handle IndexOption
* Addressed PR comments
* Update unit test
* WIP: Refactor Correlation Indicator
* Simplified comparison logic and improved abstraction
* Refactor Correlation and Beta indicators
- Created a base class to handle indicators with dual-symbol
functionality.
- Refactored the Beta and Correlation indicators to inherit from the new
base class.
- Updated unit tests.
- Added a new regression test to validate the latest computed value.
* Addressed review comments
* Update regression test
* Add new unit test to CommonIndicatorTests
* Addressed new review comments
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
* Option universe improvements
- Improvement for resolution handling of option universes, affecting
performance in live mode. Adding regression algorithm
* Minor fix for research test
Build & Test Lean / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* Default daily precise end times
- Enable by default daily precise end times. Updating stats
- Minor fix for algorithm manager consolidator updates, adding new regression test
asserting behavior and updating others
- Minor fix for SubscriptionData creator avoid round down on warmup if
not appropiate
- Adjust consolidators to emit on daily strict end times if requested
daily resolution and setting enabled
- Updating regression algorithms
* Skip daily data on extended market hours
* Some cleanup and self review
* Revert unrequired change
* Fix CA1819 and CA1002 warnings
Changed the type of Languages statistic in regression tests from
Language[] to List<Language>. By doing that, the warning CA1819 was
removed but then the warning CA1002 was raised. However, this warning
was expected to be excluded from QuantConnect.Algorithm.CSharp.
* Improve implementation
* Simplify code
* Fix bugs
* First draft of the solution
* Add missing changes
* Remove the new KPI's from report
* Fix bugs
* nit change
* Add improvements
* Fix regression tests
* Solve bugs in the regression algos
* Fix regression tests bugs
* Expand unit tests and add minor changes
* Make sure continuous futures universe selection is performed right away on the start of the algorithm.
This ensures the Future.Mapped is not null
* Minor changes
* Minor fixes
* Update regression algorithms stats
* Add DC futures map file
* Update DC futures map file
* Update regression algorithms stats
* Include ETFs for immediate universe selection
* Include Coarse Fundamentals for immediate universe selection
* Include Futures Chain Universe for immediate selection
* Add Option Chain Universe test
* Include custom universes for immediate selection
* Minor updates
* Include constituents universes for immediate selection
* Minor update
* Minor changes, docs and stats updates
* Minor changes
* Minor changes and clean up
* Minor regression algorithm stat update
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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>
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* 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
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
- 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
Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Implement Trailing FreePortfolioValue
- Implement Trailing FreePortfolioValue by default, users will be able
to set it to a fixed number if desired. Adding regression algorithm
- Setting the default 'MinimumOrderMarginPortfolioPercentage' from 0 to
0.1% of the TPV to avoud tiny trades by default
* Update existing regression algorithms
* Address reviews
- Send warning message to the user if a trade does not happen due to the
default setting of the minimum order margin percentage value
* Address reivews
* Rename TotalPortfolioValueLessFreeBuffer
* Update new regression algorithm
* 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
Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
* 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
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Added checking if algorithm is stopped in initialize method
* Quit on initialize adjusment
- Minor adjustments to solution. Adding more regression algorithms
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Create generic writing for LeanDataWriter, + notes on todos
* Make Options Daily/Hourly data store by year
* Refactor Generic Write
* Permit hour and daily resolutions for options
* Refactor writer to merge when needed with other files
* Cleanup redundancies, run write tasks in parallel
* Make needed classes/vars available
* Update tests to reflect new naming convention for daily hourly options data
* Add Byte[] overloads for ZipData functions in compression
* Implemented Store() for ZipDataCacheProvider
* Have LeanDataWriter use a DataCacheProvider
* ZipDataCacheProvider cleanup
* ZipDataCacheProvider tweaks, doesn't support storing non-zips
* Test adjustments
* Update LeanDataWriter to use Write instead of SaveDailyHourly/SaveMinuteSecond
* Implement tests to verify DownloadAndSave behavior
* Nit cleanup on DownloadAndSave tests
* Fix for options daily/hourly underlying equity subscription read
* Add daily/hourly options data and regressions
* Add missing open interest for hourly
* Fix writing of OpenInterest Daily/Hourly data
* Update data
* Fix Date typo in regression
* Use daily algorithm to test delisting
* Revisions part 1
* Expand test for DataCacheProviders; refactor DiskDataCacheProvider
* nit - test adjustments
* ZipDataCacheProvider test setup refactor
* Adjust multithreaded read/write test; fixes for ZipDataCacheProvider
* Move DiskDataCacheProvider to its own file and add write test
* Remove _appendToZips; always overwrite entry or create zip
* Add mapping regression for daily options
* nit - add license to regression
* Fix Tick write case where more than one data point for a DateTime
* Fix data issue
* Address review
* Tweaks for tests
* Stop Store() early if no entry name is given
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Implement scheduled event sampling solution
* Use UTC time, only update daily portfolio value once a day
* For daily resolutions sample chart always
* Cleanup
* Drop resample daily all together
* Force final sample
* Regression updates
* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event
* Name the daily sampling event
* Address review pt 1
* Drop force and use reference wrapper
* Adjust tests
* Fix warning for Benchmark Timezone Misalignment and also add test
* Fix for daily resolution orders and test adjustments
* Also warn on universe settings with daily resolution
* Update missed regression
* Fix reference wrapper use
* Update regression after rebase
* Add values back in for Daylight Algo
* Have statistics builder skip day 1 performance
* Regression adjustments
* Test adjustments
* Update regression unit test
* Adjust some regressions starts to show performance values
* Add hourly algorithm for beta comparison
* Address missing Python regression changes
* Remove null comment
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Adds ETF(...) to UniverseDefinitions
* Adds ETF constituents universe framework regression algorithm
for C#/Python
* Address review: adds test cases for ticker/Symbol ETF universe additions
* Fixes bug where null Market would result in null dereference exception
* Address review: add missing Index tests
* Address review: don't hardcode market when creating constituent universe
* Uses Brokerage Model's default markets collection to determine
the market for the given security type
* Address review: restore QC500 and DollarVolume.Top(...)
* Restores algorithms related to both helper universe
definition methods
* Address review: remove copy to output directory for python algos
* Add example algorithms for ETF constituent universes using custom RSI alpha model
* Address review: adjust algorithm to use cache + algo RSI & clean up code
* Address review: make ETF Constituent RSI Alpha Model algo a regression test
* Address review: increase trade count and remove single trade logic
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Alpha holdings state
- Alpha result packet will optionally provide the algorithms portfolio
state
* Rename
* Convert AlphaStreamsPortfolio to data source
* Improvements on AlphaStreams algorithm
* Fix regression tests
* Add unit tests for EW AS PCM and fixing bugs
* Protobuf AlphaStreamsPortfoliot staState
- Protobuf AlphaStreamsPortfolioState. Adding unit tests
- Add variable TPV tests for EW ASPCM
* Add alpha license to Organization response
* Improvements EW AS PCM respects free portfolio value
* Fixes
- Update tests expected statistics results affected by MHDB custom data timezone fix
- Fix for Extensions.IsCustomDataType
* Fixed and adding more regression tests
- Adding support and regression test with alpha consumer with different account currency
- Adding support and regression test of a universe adding custom data
types
- Add support and regression test for algorithm alpha consumer with existing holdings
* Add AlphaStreamsOrderEvent data type
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Adds support for ETF constituent universes
* Adds filtering for universe data if it doesn't match the
universe subscription type
* Update mapping for ALL underlying Symbols if
`Symbol.UpdateMappedSymbol(...)` is called. Required to support
constituent ETF universes that might have mapping events
* Delistings of composite constituent universe Symbol will result in
removal of universe securities.
* Added regression algorithms for ETF constituent mappings (C#/Python),
along with data required to run locally
* Refactor universe delistings in SubscriptionSynchronizer -
big thank you to @Martin-Molinero :)
* Address review: update regression algorithms and add explanatory comments
* Address review: add additional checks to delisting regression algorithms
* Adds new regression algorithm testing the addition of a universe
without calling AddEquity() and asserts same behavior
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
* Fix SubscriptionDataReader auxiliary data out of order
- Fix for SubscriptionDataReader emitting auxiliary data out of order
due to sparse that and enumerator refresh logic. Adding regression
algorithm
- Minor tweaks for unit tests failing on and off
* Fix for SDR internal subscriptions
- Fix for SubscriptionDataReader enumerator refresh for internal
subscriptions which were ignored. Adding regression test
- Updating custom data regression algorithms affected by the issue
- DropboxBaseDataUniverse was emitting a custom data point being end time
- UnlinkedTraderBarIconicType was emitting a single data point
of the underlying SPY minute data when if should of emitted
all data points
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* WIP removal of custom data references & tests updates
* Regression algos updated and python algorithms moved to DataSource repos
* Fixes failing unit tests
* Add "LiveDataTypes" field to LiveNodePacket
* Adds Initialize() to IDataChannelProvider
* Adds new extension method to convert
HistoryRequest -> SubscriptionDataConfig
* Address review: Add protobuf definitions for Iconic data types
* Address review: re-adds DynamicSecurityDataAlgorithm as regression algo
* Small adjustments to variable naming and documentation
* Move test files to respective DataSource repos
Jhonathan Abreu