68455fe19c
AnyCPU Prefer 64-bit for Report Project
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All projects that depends on Python.Runtime.dll need to be compiled in 64-bit.
2020-07-29 12:41:44 +01:00
bcc67d2457
DataPermissionManager is used by history provider
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- DataPermissionManager will be used by the history provider
- Moving interfaces from Engine to Common
2020-06-12 12:51:14 -03:00
452bf27bd9
Adding new DataPermissionManager
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- Adding new DataPermissionManager that will own the existing
datachannelProvider. Will assert configurations before added to the
data feed. Adding unit tests
2020-06-12 12:34:10 -03:00
cfb3329f33
Update System.Net.Http to latest version
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- also removed unused references
2020-05-22 22:55:18 +02:00
1d0d4f4d7b
Add assembly descriptions ( #4442 )
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Add assembly descriptions
2020-05-21 09:35:12 -07:00
1910e8e233
Fixes issue in Report project where decimal.MaxValue made Json.NET deserialization fail
2020-05-19 17:17:35 -07:00
891cf4d69b
Update to .Net 4.6.2
2020-05-15 17:32:46 -03:00
581eafb551
Address review - remove unused code in OrderTypeNormalizingJsonConverter
2020-04-15 09:59:21 -07:00
558779949d
Address review - trim unecessary code and ignore case on Enum parse
2020-04-14 11:08:40 -07:00
093ddc848d
Fixes issue when parsing LiveResult JSON with string OrderType values
2020-04-10 17:24:20 -07:00
bd62a76a35
Fixes calculation of Cumulative Returns
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* Updates outdated documentation
2020-04-06 10:45:52 -07:00
72f0f44f60
Updates Pythonnet Version
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From 1.0.5.29 to 1.0.5.30
Ref.: https://github.com/QuantConnect/pythonnet/pull/42
2020-04-01 16:15:05 +01:00
208e6eb03e
Address review - revert change to backtest sharpe if live not found
2020-03-26 12:17:03 -07:00
e5ed489e0b
Fixes issue where PortfolioLooper would crash generating certain reports
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* Updates SharpeRatioReportElement calculation
2020-03-26 11:50:08 -07:00
78fb93a64b
Merge branch 'master' into bug-report-generator-add-null-handling-for-valuetype-jsonconverter
2020-03-18 17:06:19 -03:00
c9e6d52b83
Address review - adds unit tests for NullResultValueTypeJsonConverter
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* Downgrades Json.NET to 10.0.3 for project compatibility
* Cleans up unused imports and unused code
2020-03-12 15:34:40 -07:00
77411a0b09
Fixes issue where setting leverage on cash accounts results in error
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* Adds new unit tests
2020-03-12 10:42:30 -07:00
2868973a56
Fixes issue where null Series values would default to 0
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* Adds a new JsonConverter implementation that handles null
values in the ChartPoint JSON representation. It skips any
value that is found to be "null" or unparsable
2020-03-09 12:10:23 -07:00
c3407b3e8c
Merge pull request #4088 from gsalaz98/bug-4081-embed-stylesheet-in-report-output
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Embeds report stylesheet in the output file.
2020-02-11 17:11:48 -08:00
d3a34dcd70
Fixes issue where report creator could not be ran in Mac OSX
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* Adds `PythonInitializer.SetPythonPathEnvironmentVariable(...?)` method
2020-02-11 15:01:47 -08:00
2bce084546
Embeds report stylesheet in the output file.
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This is done to make the HTML for the report a standalone page
without requiring the user to provide the *.css file along with
their report
2020-02-10 17:27:23 -08:00
5d663e8944
Fixes various issues
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* Fixes issue with how cumulative percent change was calculated
* Reworks PercentChange extension method
* Fixes PortfolioLooper leverage calculation
* Disable page 2 of reports
* Fix issue where missing values produced misaligned shape in
AnnualReturnsReportElement.cs
2019-12-31 17:37:19 -08:00
1c4935fc60
Address review - increase performance and refactor
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* Deletes NullAlphaHandler, NullLeanManager, NullSynchronizer
* Calculate the backtest and live PointInTimePortfolios only once now
* Refactor Metrics calculations
* Add missing license headers to some files
* Reverts accessibility of AddToUserDefinedAlgorithm to private
* Other misc. fixes and cleanup
2019-12-23 14:13:28 -08:00
53653fe6ed
Address review - Revert version changes to sln file
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* Fixes comments on a few report elements
* Fixes wrong name of a report element "psr kpi" -> "ir kpi"
2019-12-19 11:14:24 -08:00
e7ce60e700
Fix failing tests
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* Move config.json to config.example.json to fix tests
2019-12-19 10:11:47 -08:00
e2c75fa5fa
Address review - delete python report creator
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* Move PortfolioLooper classes to their own files
* Remove VisualStudioPlugin project
* Add SharedAssemblyInfo
* Add new crisis events
2019-12-18 18:02:04 -08:00
eb6e13d91f
Fixes many issues and refactors some of the report creator
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* 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
2019-12-18 16:10:56 -08:00
98680be625
Revert PSR report to use backtest result PSR statistic instead
2019-12-18 16:08:41 -08:00
d3528c2ea2
Polish asset allocation and exposure charts
2019-12-18 16:08:41 -08:00
55d802a3b6
Implements support for FX pairs that require currency conversion
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* Fixes bugs in various plots
2019-12-18 16:08:40 -08:00
9a2f20493a
Finish implementing all graphs, fix bugs in various graphs
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* Adds Asset allocation chart
* Fixes issue in monthly returns
* Fixes issue with matplotlib tick lines not being consistent
* Style plots correctly
2019-12-18 16:08:40 -08:00
a94077f05a
Implements exposure chart.
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* Fixes bugs with the following plots:
- Leverage
- Drawdown
2019-12-18 16:08:40 -08:00
ef3a688da5
Implements leverage chart
2019-12-18 16:08:40 -08:00
62714aabf6
Add license to source code files files missing it under Reports project
2019-12-18 16:08:40 -08:00
7cc4dec6b7
Reworks structure of project
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We now will calculate all of the metrics needed to directly plot the
data in C# instead of doing calculations in Python.
This has added benefits in that the code can be easily reused to generate
plots from Result packets and makes the underlying plotting library we
use more extensible and replaceable.
* Adds Calculations.cs
* Refactors some of ReportCharts.py
* Adds Drawdown classes
* Adds Deedle and MathNet.Numerics packages
* Completes calcuations in C# side instead of Python
Side note: I think it's a little funny that we were previously
calculating the plots via Pandas, which uses a C backend. Effectively, we
were transferring data between at least 2 separate FFI
boundaries: C# -> Py -> C -> ? (whatever BLAS is written in)
2019-12-18 16:08:40 -08:00
e156b6d5ab
Implement Rolling Sharpe ratio plot
2019-12-18 16:08:40 -08:00
3e81cdd07b
Implement Rolling Beta (6 month and 12 month) chart
2019-12-18 16:08:40 -08:00
82429318d8
Implements Daily Returns chart and some styling fixes
2019-12-18 16:08:40 -08:00
fa54cd9652
Implements Drawdown chart w/ drawdown periods
2019-12-18 16:08:40 -08:00
a8574d437a
Implements Returns Per Trade chart
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* Fixes typo in function name in ReportCharts.py
2019-12-18 16:08:40 -08:00
261f07adef
Implement Annual Returns plot section
2019-12-18 16:08:40 -08:00
d7c7082543
Fixes bug preventing successful execution of the program
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* Restyles and reworks some of the cumulative percentage gain graph
2019-12-18 16:08:40 -08:00
f66a682f63
Debug commit
2019-12-18 16:08:40 -08:00
Alexandre Catarino