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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
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Co-authored-by: Alain Schaerer <aschaerer@pcatg.com>
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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
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Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
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* Solve bug in the parameters of the Report
Before, when the number of keys were odd a part of the raw template was
shown in the report generated. Additionally, the user couldn't define
the number of columns of the parameters table
* Add unit tests
* Enhance unit tests
* Nit change
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* Add support for custom HTML file in Report
* Add support for custom crisis HTML template
* Revert "Add support for custom crisis HTML template"
After considering this option carefully, the QC team has decided to
add this functionality in a different way.
This reverts commit aead1ff8504556417e9dffadb33b06c7599ab87a.
* Get parameters and crisis HTML custom templates
* Move parameters html template to a file
* Nit change
* Remove template.crisis.html and add unit tests
* Nit change
* Nit change
* Add unit tests for the fail cases
* Add algorithm configurations to Report
* Add just Parameters section in the Report
* Revert "Add just Parameters section in the Report"
This reverts commit 775255127a212db81fc1cc1e23a35b7c60214eac.
* Include just AlgorithmConfiguration.Parameters
* Create ParametersReportElement
* Generate parameters into HTML dynamically
* Enable the user to modify CSS content throu
* Enable CSS override file to be passed through cmdline
* Check CSS Override file exists
* Fix bugs
* Address required changes
* Address required changes
* Address required changes
* Calculate PSR for live algorithms in report generator
* Use live series for calculating of CAGR, Max DD, and PSR
* Removes Kelly Estimate from report and template.html
* Update template.html
* Rolling Beta bug fix when using daily data
* Max drawdown output as percent
* Make days live report element use equity curve last day instead of today
Co-authored-by: Jared <jaredbroad@gmail.com>
* Improves stability and fixes various bugs
* Adds unit tests covering changes
* Adds COVID-19 crisis plots
* Adjusts styling of crisis plots for more pleasant viewing
* Fixes bug where null BacktestResult caused application to crash
* Order JSON bug fixes and stability improvements
* MaxDrawdownReportElement now produces results for Live
* Replaced Estimated Capacity w/ Days Live
* Added Live marker to sharpe ratio
* Added support for MOO and MOC orders in PortfolioLooper
* Address review: adds new unit tests and cleans up code
* Bug fix: use LastFillTime instead of Order.Time for MOO and MOC
* Address review: Fixes tests and cleans up code
* Can handle null Result packets
* Created utility files
* Added various helper methods to PortfolioLooper
* Fixes build issue by removing System.Collections.Immutable
* Updates plots to show "Insufficient data" when it can't be created
* Hides empty crisis page
* Fixes wkhtmltopdf display bug
* Removes Calculations.cs
* Modifies accessibility of AddToUserDefinedUniverse in QCAlgorithm
* Add null value handling in OrderJsonConverter
* Various bug fixes
* Fixes broken ReportChartTests.py
* Adds leverage to PointInTimePortfolio
JosueNina