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* Add SeedInitialPrices algorithm setting
This is true by default and indicates that the engine will seed initial prices right after the security is added or selected
* Update regression algorithms
* Update regression algorithms
* Update regression algorithms
* Refactor default securities seeding
* Minor fix
* Minro fixes
* Cleanup
* Updated and add regression algorithms
* Address peer review
* Centralize logic to get last known data for multiple securities
* Some cleanup
* Minor build fix
* Minor fixes
* More logic centralization
* Some more cleanup
* Cleanup
* Update regression algorithms and minor fixes
* Update regression algorithms
* Minor fix
* More minor fixes
* Update regression algorithms
* Cleanup
* Minor test fix
* Address peer review
* Minor fix and performance improvement
* Fix to seed open interest data
* Minor test fixes
* Address peer review
* Minor change
* Minor revert
* Minor fixes and improvements
* Disable initial seeding by default
* Minor fixes
* Cleanup
* Cleanup
* Minor fix
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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>
* 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
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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>
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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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* 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
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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
* Update Oanda's Forex and Metals CFDs trading hours in the MHDB
* Fix failing unit tests
* Update regression algorithm statistics
* Fix failing unit tests
* Minor changes
* 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
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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>
* 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
* Update OrderListHash to use MD5 as hash instead of hash code
* Update regression algorithm OrderListHash statistic
* Use full MD5 hash as OrderListHash, update regression statistic
* Fixes failing regression tests
* Oanda default forex Market
- Use Oanda as default forex Market since it has more pairs.
- Remove FXCM data add Oanda equivalente data.
- Update unit and regression tests
* Address reviews
- Revert FXCM data removal
- Remove unrequired commented code
* Fix rebase
- `CashBook[NullCurrency] { get; }` will throw an exception
- Revert `Currencies.USD` changes in user facing algorithms
- Improve some documentation
- Revert some format changes
- Adding more asserts for regression test
- Adding new regression tests using a custom fee model which returns
`OrderFee.Zero`
- Adding a non-usd account currency test to the cash book tests
- Adding some unit tests for `NullCurrency` and `OrderFee.Zero`
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes.
`ICurrencyConverter` will now provide the `AccountCurrency`
- Adding new static `OrderFee.Zero` which will return a 0 order fee in
`NullCurrency`
- Adding static `Currencies.USD` value, replacing all "USD".
- Addin new static `Currencies.NullCurrency`
- Updating Bitfinex `FeeModel` so it return fees in quote currency.
Adding unit tests
- Replacing `decimal` for `OrderFee` at the `OrderEvent`.
- Adding `FeeModelNotUsingAccountCurrency` regression test
- Adding unit tests for `CashBuyingPowerModel` and `SecurityMarginModel`
with non account currency fees
Jhonathan Abreu