Derek Melchin eefa74baaa Add Sortino ratio to statistics and report (#6698) ...

* 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>

2023-12-12 21:06:13 -03:00

..

Algorithm/Framework

Insight and PortfolioTarget tag (#7456)

2023-09-07 16:59:01 -04:00

Api

Add Sortino ratio to statistics and report (#6698)

2023-12-12 21:06:13 -03:00

Benchmarks

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Brokerages

Brokerage.Eze, launcher config (#7593)

2023-11-22 10:23:35 -03:00

Commands

Move small namespaces' messages to 'Messages' folder (#6930)

2023-02-09 19:17:40 -03:00

Data

Solve Invariant of Culture bugs (#7608)

2023-12-05 15:32:03 -03:00

Exceptions

Add Pythonnet's ClrBubbledException interpreter (#7523)

2023-10-20 11:26:47 -03:00

Indicators

Indicators history rolling window (#7314)

2023-06-13 15:07:09 -03:00

Interfaces

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

Messages

Solve Invariant of Culture bugs (#7608)

2023-12-05 15:32:03 -03:00

Notifications

Move Notifications, Optimizer and Python namespaces' messages to Messages folder (#6931)

2023-02-09 19:23:39 -03:00

Optimizer

Minor optimizer improvement (#7179)

2023-04-12 15:35:54 -03:00

Orders

Minor SerializedOrderEvent Tweak (#7603)

2023-11-29 11:19:56 -03:00

Packets

Out of sample support tweaks (#7542)

2023-10-27 18:23:21 -03:00

Parameters

Fix Warnings V2 (#5436)

2021-04-02 11:20:01 -07:00

Properties

Remove all nuspec files (#5311)

2021-02-18 17:13:11 -03:00

Python

Risk-Free Interest Rate Model (#7594)

2023-11-22 16:17:34 -04:00

Scheduling

Modernization of syntax used in argument check exceptions (#7380)

2023-07-17 14:53:17 -03:00

Securities

Index.IsTradable Can Be Set (#7610)

2023-12-06 21:02:10 -03:00

Statistics

Add Sortino ratio to statistics and report (#6698)

2023-12-12 21:06:13 -03:00

Storage

Object Store Improvements (#6605)

2022-08-31 20:50:00 -03:00

Util

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

AlgorithmConfiguration.cs

Out of sample support tweaks (#7542)

2023-10-27 18:23:21 -03:00

AlgorithmImports.py

Support overriding position group margin requirements (#7286)

2023-05-31 19:53:50 -03:00

AlgorithmSettings.cs

Deprecates IAlgorithmSettings.DataSubscriptionLimit (#7457)

2023-09-08 19:41:52 -03:00

BaseSeries.cs

Add stockplot series type (#7615)

2023-12-07 19:50:17 -03:00

BinaryComparison.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

BinaryComparisonExtensions.cs

Add OptionStrategyMatcher (#4924)

2020-12-02 18:42:24 -03:00

Candlestick.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

CandlestickSeries.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

CapacityEstimate.cs

Round Capacity Estimate for Runtime Statistics (#5688)

2021-06-21 21:06:09 -03:00

Chart.cs

Candlestick charts (#7425)

2023-08-08 17:52:46 -03:00

ChartPoint.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

Currencies.cs

Add Bybit stable currencies & fix test log (#7474)

2023-09-20 13:56:59 -03:00

DataDownloaderGetParameters.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

DataMonitorReport.cs

Data monitor (#6725)

2022-11-09 17:38:34 -03:00

DataProviderEvents.cs

DividedEventProvider distribution computation (#4828)

2020-11-11 15:47:51 -03:00

DocumentationAttribute.cs

Add file and line number to documentation attribute (#6122)

2021-12-20 17:30:04 -08:00

Exchange.cs

Add missing exchanges (#7011)

2023-02-24 16:31:51 -03:00

Expiry.cs

Fixes Expiry.EndOfMonth and Expiry.EndOfYear Methods

2020-04-02 02:35:47 +01:00

ExtendedDictionary.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Extensions.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

Field.cs

Allow field selectors to be used with QuoteBars

2017-04-12 12:46:22 +02:00

Global.cs

Merge branches 7501 and 7506 (#7605)

2023-12-04 18:09:57 -03:00

Globals.cs

Remove 'data-directory' usage (#7241)

2023-05-12 18:24:12 -03:00

IDataDownloader.cs

Add tick type to data downloader get (price data) call in order for a… (#6057)

2021-11-22 12:00:16 -03:00

IIsolatorLimitResultProvider.cs

Properly handle events raised in ScheduledEvents

2019-10-19 14:52:34 -04:00

ISeriesPoint.cs

Candlestick charts (#7425)

2023-08-08 17:52:46 -03:00

Isolator.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

IsolatorLimitResult.cs

Refactors scheduled events to execute on main thread

2019-10-19 14:52:34 -04:00

IsolatorLimitResultProvider.cs

Refactor IsolatorLimitResultProvider

2020-03-02 18:23:20 -03:00

ITimeProvider.cs

Move ITimeProvider and RealTimeProvider to Common

2019-10-19 01:52:07 -04:00

LocalTimeKeeper.cs

Remove usage of Lazy<DateTime> in LocalTimeKeeper

2017-12-29 01:12:58 +01:00

Market.cs

Add Bybit integration (#7442)

2023-09-18 11:08:40 -03:00

OS.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

PandasMapper.py

Pandas Mapper Recursion Bug Fix (#5848)

2021-08-10 20:32:09 -03:00

Parse.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

QuantConnect.csproj

Bump pythonnet version to 2.0.26 (#7616)

2023-12-08 13:38:39 -04:00

RealTimeProvider.cs

Defines ITokenBucket and a LeakyBucket implementation

2019-10-19 01:52:07 -04:00

RealTimeSynchronizedTimer.cs

Update all LEAN threads to be Background threads

2017-06-28 21:02:59 +02:00

Result.cs

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

SecurityIdentifier.cs

New Fundamental Data (#7490)

2023-10-25 15:47:42 -03:00

Series.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

SeriesSampler.cs

Add support for null chart points (#7622)

2023-12-12 20:26:58 -03:00

StringExtensions.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Symbol.cs

New Fundamental Data (#7490)

2023-10-25 15:47:42 -03:00

SymbolCache.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

SymbolCapacity.cs

Make continuous future untradable (#6252)

2022-03-14 14:23:26 -03:00

SymbolJsonConverter.cs

SymbolJsonConverter improvements (#5683)

2021-06-21 21:02:46 -03:00

SymbolRepresentation.cs

Minor fix CrunchDAO Symbology (#7276)

2023-05-25 17:51:40 -03:00

SymbolValueJsonConverter.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

Time.cs

New Fundamental Data (#7490)

2023-10-25 15:47:42 -03:00

TimeKeeper.cs

Refactor alpha statistics phase I (#7055)

2023-03-10 13:12:23 -03:00

TimeUpdatedEventArgs.cs

Adds TimeUpdated event on LocalTimeKeeper

2015-07-13 15:12:49 -04:00

TimeZoneOffsetProvider.cs

Add note for TimeZoneOffsetProvider StartTime (#5469)

2021-04-08 18:00:17 -03:00

TimeZones.cs

Indian stock markets support & Zerodha brokerage implementation (#4873)

2021-03-08 18:51:54 -03:00

TradingCalendar.cs

Move QuantConnect namespace's messages to Messages folder (#6924)

2023-02-10 10:41:05 -03:00

TradingDay.cs

Update enum values in comments (#6460)

2022-07-05 10:29:28 -03:00