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Will Tindall 9cfd8b7403
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Implement Risk Metrics: Value At Risk (#7757) 
* Implement VaR in PortfolioStatistics

* Added ValueAtRisk indicator

* Refactored ValueAtRiskTests

* Added returns column to test data

* Change indicator helper method name

* Addressed comments
2024-02-26 11:02:20 -03:00
..
Alphas
Alpha Streams Improvements. Python Imports (#5874)
2021-08-24 11:15:48 -03:00
Execution
FreePortfolioValuePercentage Trailing Behavior (#7272)
2023-05-25 18:48:04 -03:00
Portfolio
Expire Instead of Clear Insights In Base PCM In OnSecuritiesChanged (#7251)
2023-05-18 11:20:17 -03:00
Properties
Remove all nuspec files (#5311)
2021-02-18 17:13:11 -03:00
Risk
Alpha Streams Improvements. Python Imports (#5874)
2021-08-24 11:15:48 -03:00
Selection
Add missing constructor in OptionChainedUniverseSelectionModel (#7741)
2024-02-05 15:56:29 -03:00
CandlestickPatterns.cs
Use IBaseData in type constraints
2016-11-09 09:20:16 -05:00
ConstituentUniverseDefinitions.cs
Add ConstituentUniverseDefinitions
2019-11-21 12:28:51 -03:00
DollarVolumeUniverseDefinitions.cs
Adds ETF(...) to UniverseDefinitions (#5873)
2021-08-25 11:22:31 -03:00
INotifiedSecurityChanges.cs
Address reviews
2019-04-03 21:55:44 -03:00
QCAlgorithm.cs
Manual option contract addition for delisted underlyings error (#7799)
2024-02-21 09:02:07 -04:00
QCAlgorithm.Framework.cs
Future and option universe selection improvements (#7313)
2023-06-13 10:32:26 -03:00
QCAlgorithm.Framework.Python.cs
API Reference for docs v2 (#6098)
2021-12-08 16:25:36 -08:00
QCAlgorithm.History.cs
Fix bug in GetLastKnownPrices() method (#7649)
2023-12-29 13:24:18 -03:00
QCAlgorithm.Indicators.cs
Implement Risk Metrics: Value At Risk (#7757)
2024-02-26 11:02:20 -03:00
QCAlgorithm.Plotting.cs
Rename Daily Performance Index Name (#7752)
2024-02-05 15:42:35 -03:00
QCAlgorithm.Python.cs
Risk-Free Interest Rate Model (#7594)
2023-11-22 16:17:34 -04:00
QCAlgorithm.Trading.cs
Invalidate option orders during a stock split (#7550)
2023-11-01 17:07:04 -03:00
QCAlgorithm.Universe.cs
New Fundamental Data (#7490)
2023-10-25 15:47:42 -03:00
QuantConnect.Algorithm.csproj
Bump pythonnet version to 2.0.26 (#7616)
2023-12-08 13:38:39 -04:00
UniverseDefinitions.cs
Fix bug in UniverseSelection.Top() method (#7647)
2023-12-28 14:49:30 -03:00