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* Add a temporary benchmark stats sample in live
Allow trades to be written to result file on first day of the deployment before the first daily sample is done
* Enable trades results streaming
* Minor changes
* Make Trade.Id a Guid
* Cleanup
* Sample temporary charts once per hour
* Minor change
* Minor fix
* Minor fix
* Minor fix
* Add fix for potential race condition
* Fix trade drawdown calculation
* Cleanup
* Disable MAE. MFE and Drawdown calculation for FlatToFlat and FlatToReduced trade grouping methods
* Minor test fixes
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* Add total performance statistics to live result files
* Truncate closed trades in live results
* Avoid adding totalPerformance to live minute result file
* Deprecated Trade.Symbol in favor of new Trade.Symbols
* Fixes for Trade serialization
* Add trades json serialization tests
* Cleanup
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* 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>
* 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
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* Implement VaR in PortfolioStatistics
* Added ValueAtRisk indicator
* Refactored ValueAtRiskTests
* Added returns column to test data
* Change indicator helper method name
* Addressed comments
* feat: new `TradingDaysPerYear` prop in IAlgorithmSettings
* feat: getTradingDayPerYear by BrokerageModel
feat: init algo tradingDaysPerYear in brokerage|BacktestingSetupHandler
refactor: nullable `TradingDayPerYear`
* remove: hardcoded value:252 in statistics
* test: `algorithm.Settings.TradingDaysPerYear` for different brokerage
fix: tests calculation of `AnnualPerformance()`
* fix: Report generator by tradingDayPerYear
* fix: hardcoded value in PortfolioStatisticsTests
* fix: tradingDayPerYear in AnnualPerformanceTest
remove: extra spacing
* feat: backwards compatibility for TradingDaysPerYear
* feat: several UTest for AlgoSetting's TradingDaysPerYear prop
* fix: existed algo + test
* feat: regression algo with checking of tradingDayPerYear in OnEndOfAlgorithm()
* refactor: GetBrokerageTradingDayPerYear -> SetBrokerage... in BaseSetupHandler
refactor: carry out tradingDayPerYear at the top level and pass variable
* remove: default valuine in test param
remove: extra comment.
* fix: missed init TradingDaysPerYear in report.portfolioAlgo
fix: hardcoded value to tradingDaysPerYear
* fix: nullable TradingDaysPerYear in AlgorithmConfiguration
feat: UTest for PortfolioLooperAlgo
feat: add advanced description
* feat: test PortfolioStatistics with different tradingDaysPerYear
* revert: PortfolioLooper with TradingDaysPerYear implementation
* revert: nullable TradingDaysPerYear in AlgoConfiguration
remove: SetBrokerageTradingDayPerYear in BaseResultHandler
* style: remove empty row
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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
* 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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* Candlestick charts base implementation
* Series and Candlestick series json serialization
* Some cleanup
* Add AddPlot method for candlestick series to QCAlgorithm
* Remove Values property from ISeriesPoint
* Add candlestick QCAlgorithm.Plot trade bar methods
* Implement candlestick series re-sampling
* Add more SeriesSampler unit tests
* Add examples of candlestick charts usage to exisiting charting algorithm
* Address peer review
* Address peer review
* Derive Candlestick from Bar
* Sampler changes
* Add new series types from the cloud
* Add more candlestick series sampler tests
* Minor cleanup
* Minor changes
* Make statistics available at runtime to algorithms
* Re-calculate statistics on every call
* Housekeeping
* Add regression algorithms
* Address peer review
* Support for custom summary statistics at runtime
* Minor changes
* Address peer review
* Address peer review
* Minor changes
* Minor changes
* Fix bug in Beta statistics
- Beta in Report was calculated using equity points and not daily
performance points, as it's done in Backtest
- Performance points were not being divided by 100, as it's done in
StatisticsBuilder
- Benchmark points were not being converted into a percentage daily
performance of the benchmark, as it's done in StatisticsBuilder
* Improve implementation and add unit tests
* Enhance implementation and add more unit tests
* Enhance implementation
* Nit change
* Nit changes
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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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* Move Optimizer-related DTOs and JSON converters into Common/Optimizer
* Add REST methods for Optimization
* Move OptimizationStatus into Common
* Change optimizationId parameter type to string
* Update Optimization and add lightweight optimization object
* Rename lightweight optimization to BaseOptimization and remove unneccessary properties
* Remove snapshotId from Optimization, add ParameterSet to Backtest
* Add missing IApi.cs method signatures
* Move ParameterSet into Common
* Replace Backtest with OptimizationBacktest
* Update UpdateOptimization to not include null or empty name and layout params in the request
* Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace
* Return Estimate object when calling EstimateOptimization
* Use DefaultNamingStrategy when serializing constraint operators
* Revert "Change Objective targetTemplate regex pattern from ['(.+)'] to (.+) to prevent escaping target strings without whitespace"
This reverts commit fbe7de0fd77dccc62e8c52c42a4ec9c18347acb2.
* Update Api method signatures
* Add unit tests
* Fix XML comment referring to the old class name
* Fix XML summary for OptimizationResponseWrapper
* Address review feedback
- Remove unused testOrganizationId
- Change NodeType from string to NodeType enum
- Clarify unit types for Estimate time and balance
- Simplify JsonConverter classes
* Add accessors to Common/Api classes
* Define performance metrics names in PerformanceMetrics class
* Remove unnecessary branching logic from GetSeriesValues method
* Add crefs and examples to XML comments in the Api class
* Revert "Change NodeType from string to NodeType enum"
* Remove layout param from UpdateOptimization method
* Backtest property ParameterSet should be of type ParameterSet
* Add asserts for deserialization in OptimizationBacktestJsonConverterTests
* Replace the three target-related properties with Criterion
* Add serialization and deserialization tests for Optimization
* Remove Optimization Serialization test
* Add EstimateDeserialization test
* Add asserts for integration tests
* Address self review
* Revert test case
* Update Nodes.cs
* Update Nodes.cs
* Set Aborted status when Optimization fails to start
* Add ParameterSetJsonConverter and ParameterSetJsonConverterTests
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
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* 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
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* Update charts that are not empty and not default values
* Testing
* Filter final results
* Explicitly filter alpha charts if not needed
* Use filtered charts for Live results handler
* Refactor solution to manage alpha charts internally by creator
* nit comment fixes
* Implement drawdown as default chart
* Implement Capacity Estimate for backtest default chart
* Add default values to QC.Plotting
* Adjust drawdown calculation
* Only sample "Capacity" once a day
* Implement Volume chart
* Nit fixes
* Volume Chart adjustments and fixes
* Rename to "Assets Sales Volume"
* Implement Exposure Sampling
* Store algorithm currency symbol, round capacity to nearest 1k
* Add new plots to default charts
* nit change name
* Address reviews
* Reduce duplication and clean up exposure sampling
* Address reviews
* Improve sample exposure
* Address review
* Only enumerate holdings once
* nit - comments
* Post rebase fix
* Don't need to round anymore
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* Add property for capacity. Remove unused variable
* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics
* Add null checks
* Remove uninvested and untradable assets from capacty calculations
* Add SymbolCapacity influential period
* Updates Regression Tests
- DelistingEventsAlgorithm
- Allows additional contributions from delisted AAA.1
- DelistingFutureOptionRegressionAlgorithm
- Removes DC01H12 contributions one month later
- FutureOptionBuySellCallIntradayRegressionAlgorithm
- Allows additional contributions from future after expiry replacing the contribution of the next contract option
- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
- Allows additional contributions from future after expiry
- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
- Allows additional contributions from option after expiry
- MACDTrendAlgorithm
- Removes contribution when SPY is not invested for over one month
- UniverseSelectionRegressionAlgorithm
- Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)
* Adds Lowest Capacity Asset to Regression Tests
* Normalize expected value -0, because -0 is also written to file if updated
* Write Symbol.Value for lowestCapacitySymbol or empty string for empty Symbol
* Update Regressions
* Update 'Lowest Capacity Asset' to Symbol.ID
Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
`GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`).
See `ProbabilisticSharpeRatio` where the same solution was applied.
* Adds CapacityEstimate and SymbolCapacity
The capacity estimation has been moved from
the report generator and wired directly into
Lean via the ResultHandler. In addition,
the capacity estimation strategy has changed
to account for errors in the previous iteration
of the capacity estimation.
Many many thanks to Jared for being much of the
mastermind behind this project. It would have
been harder to complete without him to bounce ideas
off of.
* Moves old tests to regression algorithms
* Adds Estimated Capacity statistic
* Removes old capacity estimation tests
Final report capacity estimation. Pushing to save state
* Fixes bugs, cleans up code and adds comments
* Adds forced sampling to Capacity Estimation
* Misc. bug fixes for daily data
* Updates capacity test cases' Estimated Strategy Capacity statistic
* Adds Capacity Estimate to all regression algorithms
* Removes Report's StrategyCapacity class and fixes bug in tests
* Adds null check in BacktestingResultHandler to fix
BacktestingTransactionHandler failing tests
* Deletes old capacity estimation classes
* Retrieve capacity estimates from backtest statistics results
instead of calculating at runtime
* Make $0.00 capacity return as "-" and Result = 0 in report
* Adds capacity to runtime statistics
* Converts capacity to number denoted by financial figures in RuntimeStats
* Addresses review: code cleanup for Capacity and adds comments to regression tests
* Adjust delisting liquidation time
- Adjust delisting liquidation time to 15 min before market closes.
Adding unit tests. Updating existing.
- Handle `Statistics.CompoundingAnnualPerformance` invalid calculation
to avoid exception.
- AlgorithmManager will not handle delisting events in live trading
- Fix bug where due to a split driven liquidation matching delisting
date a position in the option would remain open. Reproduced by
`BasicTemplateOptionsFrameworkAlgorithm`
* Address review
- Address review add documentation on delisting offset span
* initial commit
* run parametrized algorithm with command line parameters
* skeleton: top level structure
* OptimizationNodePacket scheme
* pass parameters as HashSet
* run Lean and read results
* call method on optimization completion
* refactor public interfaces
- close ParameterSet collection; allow only get operations
- explicit method to start LeanOptimizer
* synchronize RunLean method; the result could come in before the backtest id is set in the collections
* another portion of refactoring and interface changes
* comments
* comments & tests for Extremum, Minimization and Maximization classes
* unify optimization paramater values (min, max, step) & mode GridSearch tests
- swap min&max if necessary
- iterate left => right (negate step value if necessary) & provide default step value if step == 0
- no StackOverflow Exception
- parameterSet Id should be global for current generator and retain between steps
- test signle point boundary (min == max)
* BruteForceStrategy tests
* more comments
* Update Optimizer assembly information
- Update Optimizer projects assembly information to match behavior of
the other projects
* Tweaks
- Adding comments
- Replace OnComplete for Ended event
- Replace Abort for Dispose
- ConsoleLeanOptimizer will keep track of running processes
- Each backtest will store results in a separated directory, so they
don't fight for the log.txt file.
- Adding cmdline option for lean to close automatically
- Adding concurrent execution backtest limit
- Console optimizer will start Lean minimized
- Escape spaces in Json path
* remove parameter set generator abstraction layer
we don't need this flexibility now.
* refactor public methods; Step shouldn't be public
* constraints: wip
* define contract
* comparison operators and tests
* specify JsonProperty values
* Move SafeMultiply100 to extensions
* Throw exception on failed Optimizer.Start
* constraints: wip
* change finish & dispose process
* minor fixes
- handle force lean abort
- notify consumer if target has been reached
* target & constraints; adapt unit tests
* Minor Tweaks and fixes
- Some logging improvements
- Remove Public since not required
* Ignore empty ParameterValue
* simplify condition
* avoid reinitialization
* reduce type; force immutable
* unit tests for constraints and target value
* parse & normalize percent values, i.e. 20% => 0.2
* fixup
* Target & Constraint & OptimizationNodePacket unit tests
* Add more json unit tests
- Adding more json conversion unit tests. Fix bug for Extremum which
wasn't using the converter.
* LeanOptimizer tests
* Estimation results
* User thread safe counters
* LeanOptimizer unit tests; push OptimizationResult on Ended event
* more unit tests
* Minor tweaks
-Estimate ToString in a single line.
-Typos and missing header file
* Add base SendUpdate method
- Add base SendUpdate method for LeanOptimizer
* fix LeanOptimizer test; rely on internal Update rather than timer
* Add OptimizationStatus
- Add missing commments and OptimizationStatus
* EulerSearch implementation: wip
* OptimizationParameter custom converter
* change the type
* make step optional
* change folder structure
* enumerate optimization parameter using IEnumerable & IEnumerator
* unit tests: parameters & objectives
* unit tests: strategies
* remove redundant TODO
* change Euler search boundaries
* more Euler tests
* prevent race condition
* Add account/read endpoint
- Adding account/read endpoint. Adding unit test
* Add status check before running lean
* Minor self review
- Adding missing comments, minor changes
* remove array parameters
* minor changes
- tidy up config file, rename variable
- accept min less or equal than max
* move OptimizationParameter methods to strategies
* Minor improvements for BaseResultHandler derivates
* minor changes
- strict requirements for Step and MinStep values
- strategy specific settigs
* Add TotalRuntime to estimate
Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
* SafeDecimalCast Throws Exception For Non-Finite Numbers
* Fixes Arithmetic Overflow Exception in QCAlgorithm.Trading Methods
Replace decimal cast for `SafeDecimalCast()`.
If the algorithm uses a non-finite number in QCAlgorithm trading methods, it will throw with an user-frieldly exception message.
* Fixes KellyCriterionProbabilityValue Calculation
* Removed Sample[a-zA-Z]+ methods from IResultHandler definition
* Converted Sample[a-zA-Z]+ methods from public to protected
* Updated inheritors of BaseResultHandler to use new accessibility
modifiers
* Removes useless code in ResolutionSwitchingAlgorithm
* Refactors AlgorithmManager loop
* Refactors StatisticsBuilder methods and strategy for series alignment
* Move sampling logic to the corresponding IResultHandler
* Changes benchmark resolution to Resolution.Hour
* Modifies IResultHandler to enable external sampling
* Adds BacktestResultHandler unit tests
* Adds ResolutionSwitchingAlgorithm to test misalignment
* Adds support to AlgorithmRunner to store algorithm IResultHandler
Warning: this commit breaks accurate calculations for algorithms that
only make use of `Daily` resolution data. Previously, because
the benchmark was added in Daily resolution in backtesting, any
algorithm that only made use of daily data would have an accurate
calculation for beta and various other statistics.
These changes serve to fix the statistics calculations of non-daily
resolution algorithms, with daily resolution to be revisited at a later
time.
- Add `ProbabilisticSharpeRatio` to `PortfolioStatistics`
- `Probabilistic Sharpe Ratio` will be added to the `RunTimeStatistics`
sent by the `ResultHandlers`
- Making `TradeBuilder.ClosedTrades` thread safe since its accessed by
the `ResultHandlers`
- Removing `:` from live runtime statistics
- Adding unit tests
When there is no recorded portfolio equity for a given period, we don't need to compute the algorithm performance (it is all zeroes). This procedure prevents the unrepresented `DateTime` error in `CreateBenchmarkDifferences`.
Jhonathan Abreu