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Adrian Tkacz f4b41c5793 Alpha Indicator #6985 (#7566) 
* Alpha Indicator #6985

* Switched to RateOfChange and Beta

* Added RiskFreeRate param

* Added overload method (without name)

* Changed how Return is calculated
Code refactoring

* Use interest rate provider to automatically get the risk free rate

* Removed InterestRateProvider

* Applied Risk-Free Interest Rate Model

---------

Co-authored-by: Adrian Tkacz <adrian.tkacz@creatdy.com>
2023-11-24 11:31:15 -03:00
..
equity/usa/shortable/testbrokerage
Implements Easy To Borrow Reality Modeling (WIP) (#5159)
2021-01-14 13:33:44 -08:00
greeks
Change default American Option Pricing model to Binomial CRR model (#7426)
2023-08-18 14:34:46 -03:00
00010101_05_example_psychsignal_testdata.csv
Address review
2019-07-09 17:46:15 -07:00
20151224_quote_american.zip
Adds ZipEntryNameSubscriptionFactory
2016-03-17 10:55:47 -04:00
aapl_chain.csv
Fixes inability to parse negative strike prices in SecurityIdentifier (#4953)
2020-11-30 15:45:36 -03:00
aapl_fine_fundamental.json
Add JSON deserialization test for FineFundamental
2018-05-07 21:43:11 +02:00
alpha_indicator_datatest.csv
Alpha Indicator #6985 (#7566)
2023-11-24 11:31:15 -03:00
arms_data.txt
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
bi_datatest.csv
Beta indicator (#6042)
2021-11-15 15:57:24 -03:00
CashTestingStrategy.csv
Consolidates transaction handlers to use the IBrokerage interface
2015-01-25 17:12:10 -03:00
custom_future_chris_cme_es1.csv
Remove Quandl from LEAN (#6110)
2022-01-12 12:10:20 -03:00
custom_future_chris_cme_es2.csv
Remove Quandl from LEAN (#6110)
2022-01-12 12:10:20 -03:00
daily-stock-picker-backtest.csv
Updates Dropbox Algorithms
2020-02-12 23:58:03 +00:00
daily-stock-picker-live.csv
Updates Dropbox Algorithms
2020-02-12 23:58:03 +00:00
dwac_supertrend.txt
Super Trend Indicator (#6013)
2021-11-17 12:19:26 -03:00
eurusd60_dem.txt
Adds DeM indicator (#5002)
2020-12-15 08:29:55 -03:00
eurusd_candle_patterns.txt
Adds test files for more patterns
2016-02-24 00:56:54 +01:00
ewz_candle_patterns.txt
Adds test files for more patterns
2016-02-24 00:56:54 +01:00
FillForwardBars.zip
Fix fill forward unit tests (#7070)
2023-03-15 12:45:04 -03:00
frama.txt
Adds FRAMA external data testing
2016-05-26 11:27:28 +01:00
FuturesExpiryFunctionsTestData.xml
Add Lumber Futures LBR (#7440)
2023-08-23 19:19:16 -03:00
fxVolumeDaily.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
fxVolumeHourly.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
fxVolumeMinute.csv
FXCM Forex Real volume and Transactions ToolBox Project (#1025)
2017-08-28 16:25:52 -04:00
gdax_accounts.txt
Adds remaining gdax rest methods and unit tests
2017-07-04 21:40:42 +01:00
gdax_fill.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_holding.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_openOrders.txt
Adds fees, Adds auth header
2017-07-06 21:11:46 +01:00
gdax_order.txt
GDAX Brokerage updates (#4635)
2020-09-09 16:18:10 -03:00
gdax_orderById.txt
Adds fees, Adds auth header
2017-07-06 21:11:46 +01:00
gdax_pollTick.txt
Adds usd conversion rate service
2017-09-12 14:30:26 +01:00
gdax_tick.txt
Adds gdax brokerage
2017-07-02 20:03:02 +01:00
gdax_ticker.txt
Changes gdax to ticker channel
2017-09-08 12:18:12 +01:00
mcclellan_data.csv
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
multizip.zip
Adds Compression.Unzip overload supporting zip entry name
2016-03-17 09:47:45 -04:00
SampleMarketHoursDatabase.json
Support extended market hours for futures (#6522)
2022-08-18 10:56:44 -03:00
spy_10_min.txt
Adds initial impl of RenkoConsolidator
2015-03-28 17:21:30 -04:00
spy_acceleration_bands_20_4.txt
Tests passed
2017-08-29 15:27:15 -03:00
spy_ad_osc.txt
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_ad.txt
Adds AccumulationDistribution and AccumulationDistributionOscillator indicators
2016-02-08 11:09:56 -05:00
spy_alma.txt
ALMA and test implemented.
2017-05-02 10:42:01 -03:00
spy_ao.txt
Adds the Awesome Oscillator (#5005)
2020-12-11 20:46:07 -03:00
spy_apo.txt
Adds AbsolutePriceOscillator indicator (APO)
2016-03-23 20:53:08 +01:00
spy_aps.txt
Feature Augen Price Spike Indicator (#5713)
2021-07-09 20:07:15 -03:00
spy_arima.csv
Feature #5098 - Time Series Indicators (#5099)
2021-02-01 20:17:49 -03:00
spy_aroon_oscillator.txt
Initial commit
2015-01-12 12:03:33 -03:00
spy_asi.csv
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
spy_atr_wilder.txt
Adds unit test for AverageTrueRange with MovingAverageType.Wilders
2018-03-21 00:15:54 +00:00
spy_atr.txt
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
spy_bollinger_bands.txt
More Bollinger Indicators
2020-06-30 11:02:59 +03:00
spy_bop.txt
Adds Balance Of Power indicator
2016-02-04 12:57:18 -05:00
spy_candle_patterns.txt
Adds CandlestickPatternTests class with data file
2016-02-24 00:56:54 +01:00
spy_cmf.txt
Adds ChaikinMoneyFlow indicator (#4986)
2020-12-11 18:04:17 -03:00
spy_cmo.txt
Adds ChandeMomentumOscillator indicator
2016-02-08 11:10:39 -05:00
spy_coppock_curve.csv
Coppock Curve indicator implementation
2018-01-30 12:05:13 -03:00
spy_dema.txt
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_dpo.csv
DetrendedPriceOscillator indicator.
2017-10-11 09:56:57 -03:00
spy_ema.csv
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_emv.txt
Feature emv indicator addition (#4591)
2020-08-24 09:54:58 -03:00
spy_heikin_ashi.txt
Adds Heikin-Ashi indicator
2016-02-19 03:01:39 +01:00
spy_hma.txt
HullMovingAverage, tests and helper method implemented
2017-04-27 20:52:27 -03:00
spy_kama.txt
Adds Kaufman Adaptive Moving Average indicator (KAMA)
2016-03-07 23:22:37 +01:00
spy_ker.txt
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
spy_logr14.txt
added test data and set file properties to copy to the bin directory if newer.
2015-08-27 00:40:49 -04:00
spy_mass_index_25.txt
Test passed
2017-09-01 14:40:26 -03:00
spy_max.txt
Adds new tests with data files for Minimum and Maximum indicators
2016-03-20 15:20:00 +01:00
spy_mfi.txt
Add sum indicator and use it for the SMA and MFI. Add left and right Reset for CompositeIndicator Reset with test. Reset sum on SMA reset with test. Update test helper to parse for Volume. Update test data for MFI to include volume.
2015-03-09 22:47:37 -04:00
spy_midpoint.txt
Adds MidPoint indicator (MIDPOINT)
2016-03-21 21:20:11 +01:00
spy_midprice.txt
Merge branch 'midprice-indicator' of https://github.com/StefanoRaggi/Lean into StefanoRaggi-trix-indicator
2016-03-22 11:14:54 -04:00
spy_min.txt
Adds new tests with data files for Minimum and Maximum indicators
2016-03-20 15:20:00 +01:00
spy_natr.txt
Adds Normalized Average True Range indicator (NATR)
2016-02-15 14:51:34 -05:00
spy_ohlcv.txt
Hooks up BrokerageSetupHandler to initialize algo from brokerage-setup-handler
2015-02-21 15:10:55 -05:00
spy_parabolic_SAR.txt
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
spy_pivot_pnt_hl.txt
Implements PivotPointsHighLow indicator + tests (#5352)
2021-05-24 11:09:07 -03:00
spy_ppo.txt
Adds PercentagePriceOscillator indicator (PPO)
2016-03-23 21:15:39 +01:00
spy_qqq_corr.csv
correlation as lean indicator #6983 (#7543)
2023-11-13 20:40:14 -03:00
spy_rdv.txt
Relative Daily Volume Indicator (#5747)
2021-07-28 18:02:34 -03:00
spy_rocr.txt
Adds RateOfChangeRatio indicator
2016-02-12 10:56:54 -05:00
spy_rvi.txt
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
spy_si.csv
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
spy_sortino.csv
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
spy_sr.txt
Adds SharpeRatio indicator (#5348)
2021-03-11 13:35:08 -08:00
spy_stc.txt
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_swiss.txt
Add SWISS test data. Various fixes
2016-06-08 09:41:54 +01:00
spy_t3.txt
T3 volume factor now optional, also updated tests to use 0.7 default value
2016-02-13 13:14:00 +01:00
spy_tema.txt
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_tr.txt
Adds TrueRange indicator
2016-02-08 11:10:38 -05:00
spy_trima.txt
Adds TriangularMovingAverage indicator
2016-02-08 11:09:55 -05:00
spy_trix.txt
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_tsi.csv
Fix EMA first value calculation (#7173)
2023-04-11 17:43:25 -03:00
spy_ultosc.txt
Adds Ultimate Oscillator indicator (ULTOSC)
2016-03-19 23:09:18 +01:00
spy_var.txt
Adds Variance indicator
2016-02-04 17:18:13 -05:00
spy_with_adx.txt
Refactors AverageDirectionalIndex and AverageDirectionalMovementIndexRating
2018-11-02 22:53:20 +00:00
spy_with_cci.txt
Added test data for proposed new indicators
2015-01-12 15:37:21 -03:00
spy_with_don50.txt
Modify DonchianChannel.cs and spy_with_don50.csv (#7329)
2023-06-21 15:26:58 -03:00
spy_with_fisher.txt
Fixes FishTransform Indicator
2019-05-13 17:57:08 +01:00
spy_with_hilbert.csv
Fixes bug in Hilbert Transform indicator (#7203)
2023-04-21 12:01:52 -03:00
spy_with_ichimoku.csv
Minor corrections in Tests project
2017-03-02 21:48:36 -03:00
spy_with_ichimoku.ods
Added original .ods file for Ichimoku test data
2015-06-26 11:38:07 +08:00
spy_with_indicators.txt
Adds unit test for RelativeStrengthIndex with MovingAverageType.Wilders
2018-03-21 00:18:08 +00:00
spy_with_keltner.csv
Creates the Keltner Channel indicators with KCH short code
2015-09-14 16:44:24 -04:00
spy_with_macd.txt
Fixes MACD's Signal and Histogram warming up
2018-03-06 20:03:15 -03:00
spy_with_obv.txt
Fixed OnBalanceVolume indicator always returning zero
2015-12-19 23:07:03 +01:00
spy_with_rma.csv
Relative Moving Average Indicator (#6297)
2022-04-25 13:13:20 -03:00
spy_with_roc50.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_rocp50.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_stoch12k3.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
spy_with_vwap.txt
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
spy_with_williamsR14.txt
Additional test data for new indicators
2015-03-11 17:16:03 -05:00
stock_prices.csv
Changes NLTK Data Location and Adds mlfinlab Package
2019-11-12 22:30:04 +00:00
target_downside_deviation.csv
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
test_cash_equity.xml
Adds unit test modeling the test_cash algo
2015-04-02 18:53:03 -04:00
test_cash_fills.xml
Adds unit test modeling the test_cash algo
2015-04-02 18:53:03 -04:00
test_forex_equity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills_jwb_quantity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills_mch_quantity.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_forex_fills.xml
Initial implementation of Margin and Portfolio models
2015-04-13 20:51:43 -04:00
test_report_data.json
Fix FormatException on estimated capacity rendering during report generation (#6551)
2022-08-16 11:08:36 -03:00
tp_datatest.csv
Market profile indicator (#5891)
2021-09-03 20:18:44 -03:00
vp_datatest.csv
Market profile indicator (#5891)
2021-09-03 20:18:44 -03:00