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quantconnect--lean/Algorithm.Framework
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Louis Szeto 9eb71e1543
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Mean Reversion Portfolio Construction Model (#6519) 
* MRP

* Fix bug

* Rename

* Provide virtual `GetPriceRelative` function to override for any variants in future

* SymbolData class within model

* Address peer review

* fix bug

* revise unit test and fix bug in python model

* revise unit test and fix bug in model

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Address peer review

* Updated unit tests according to peer review

* Address peer review
2022-08-04 11:20:11 -03:00
..
Alphas
Set default constructor values to match those in Python (#6348)
2022-05-23 21:31:48 -03:00
Execution
Alpha Streams Improvements. Python Imports (#5874)
2021-08-24 11:15:48 -03:00
Portfolio
Mean Reversion Portfolio Construction Model (#6519)
2022-08-04 11:20:11 -03:00
Properties
Remove all nuspec files (#5311)
2021-02-18 17:13:11 -03:00
Risk
Fixed bug for trailing stop model tracking original security price (#6356)
2022-05-26 19:50:54 -03:00
Selection
Make continuous future untradable (#6252)
2022-03-14 14:23:26 -03:00
CustomWeightingAlphaStreamsPortfolioConstructionModel.cs
Add new CustomWeight, AlphaModel for AlphaStreams (#6052)
2021-11-15 14:33:16 -03:00
NotifiedSecurityChanges.cs
Do not send internal SecurityChanges to Algorithm (#6118)
2021-12-21 20:24:32 -03:00
QuantConnect.Algorithm.Framework.csproj
Mean Reversion Portfolio Construction Model (#6519)
2022-08-04 11:20:11 -03:00