* Initial backtest analyzer commit
* Changes for cleanup
* Minor fix
* Add class for analysis result context
* Fix more models
* More fixes
* More fixes
* More fixes
* More fixes
* Cleanup
* Cleanup
* Add documentation
* Cleanup and remove some classes
* Write backtest analysis to results file
* Cleanup
* Minor fixes
* Minor fix
* Minor cleanup
* Implement json deserialization for backtest analysis result
* Rename analyzer classes to generalize
Remove "backtest" references from names
* Add weight to analyses
* Run analyses in order by weight
* Cleanup
* Cleanup
* Update Issue text
* Set sub-test weights to 0
* Update test weights
* Add xml docs
* Disable result analysis on regression tests
* Refactor analysis naming
* Renaming cleanup
* Simplify analysis results context
* Log when analyzer reaches max tests or time limit
* Sample down equity curve to match daily benchmark
* Minor changes
* Minor fixes
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Co-authored-by: Derek Melchin <melchin.derek@gmail.com>
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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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* Fix half of the CA1051 warnings
This warning is about not declaring visible instance fields. There are
something about 500 warnings in the solution, mostly in the QuantConnect and QuantConnect.Algorithm.CSharp projects. I aim to fix one of them in this PR and the other half of them in a second one. To fix it, I'm changing the visible instancce fields for properties.
* fix bugs
* Addressing minor reviews
* More minor fixes
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Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
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* Portfolio state chart
- Cleanup and renames
- Add series.IndexName. Uodating unit tests
- Add Chart.LegendDisabled. Adding new unit tests
- Add ChartPoint.Tooltip. Updating unit tests
- Minor compression tweak. Adding unit test
- Add ChartJsonConverter. Adding unit tests
* Minor chart serialization order tweak
* Refactor portfolio state sampling and storing
* Move PortfolioMargin into a lean side chart
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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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* add state to backtesting result packets
* self review
* add state in live results
* set runtime error in algorithm
* set hostname in job packets
* Set state when algorithm is null
* address review
* address reviews
* set runtime error when algorithm is not available during runtime
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* Add algorithm settings to backtest results
* Use algorithm result settings in report generation
* Add unit tests
* Housekeeping
* Changes for live result report
* Housekeeping
* Housekeeping
* Housekeeping
* Add unit tests
- Live and backtesting will send delta order events updates
- Live will store order events every 10 minutes per day
- Backtesting will store last 100 order events on every update and will
store all order events in the end of the backtest
- Remove chart subscription logic. Will stream all chart updates if any
(wont stream empty updates)
- Only serialize properties which are not null
- Adding Chart and Series `IsEmtpy()` extension. Adding unit tests
- Removing `using QCAlgorithmFramework = QuantConnect.Algorithm.QCAlgorithm`
- Removing `QCAlgorithmFrameworkBridge`
- Removing `IsFrameworkAlgorithm`
- Making `EmitInsightBasedOnFill` private. Adding new
`IOrderEventProvider` exposing an `event` to which `QCAlgorithm` will
subscribe.
- `AccountType.Cash` algorithms will be allowed to manually trade and
emight insights manually or with alpha model.
- Adding new `IAlgorithm.AccountCurrency { get; }` that will point to the
`Portfolio.CashBook.AccountCurrency`. Setter will be added in a
following PR.
- Base `Brokerage` class will now have a `AccountCurrency { get }`
pointing to the `IAccountCurrencyProvider`. Will be used by the different
brokerages implementations.
Provides estimates of alpha value as well as performs online computations of
alpha scores and other KPIs.
Sends alpha stats to result handler
Update live result with framework flag
Jhonathan Abreu