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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
..
CandlestickPatterns
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
Properties
Remove all nuspec files (#5311)
2021-02-18 17:13:11 -03:00
AbsolutePriceOscillator.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AccelerationBands.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
AccumulationDistribution.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AccumulationDistributionOscillator.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
AdvanceDeclineDifference.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineIndicator.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineRatio.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
AdvanceDeclineVolumeRatio.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
Alpha.cs
Update Alpha.cs (#7630)
2023-12-15 15:59:23 -03:00
ArmsIndex.cs
Modify advance decline indicators (#7032)
2023-03-02 15:48:20 -03:00
ArnaudLegouxMovingAverage.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
AroonOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AugenPriceSpike.cs
Feature Augen Price Spike Indicator (#5713)
2021-07-09 20:07:15 -03:00
AutoRegressiveIntegratedMovingAverage.cs
Feature #5098 - Time Series Indicators (#5099)
2021-02-01 20:17:49 -03:00
AverageDirectionalIndex.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AverageDirectionalMovementIndexRating.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AverageTrueRange.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
AwesomeOscillator.cs
Adds the Awesome Oscillator (#5005)
2020-12-11 20:46:07 -03:00
BalanceOfPower.cs
Indicators with name starting with B to F.
2019-05-13 17:50:51 +01:00
BarIndicator.cs
Use IBaseData in type constraints
2016-11-09 09:20:16 -05:00
Beta.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
BollingerBands.cs
Research BollingerBands Value Error (#5656)
2021-06-14 14:23:05 -03:00
ChaikinMoneyFlow.cs
Adds ChaikinMoneyFlow indicator (#4986)
2020-12-11 18:04:17 -03:00
ChandeMomentumOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
CommodityChannelIndex.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
CompositeIndicator.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
ConstantIndicator.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
CoppockCurve.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
Correlation.cs
correlation as lean indicator #6983 (#7543)
2023-11-13 20:40:14 -03:00
CorrelationType.cs
correlation as lean indicator #6983 (#7543)
2023-11-13 20:40:14 -03:00
Delay.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Delta.cs
Option Delta Indicator (#7704)
2024-01-29 12:54:57 -03:00
DeMarkerIndicator.cs
_lastLow and _lastHigh are given resets under DeM's Reset method (#5449)
2021-04-06 10:15:16 -03:00
DetrendedPriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
DonchianChannel.cs
Modify DonchianChannel.cs and spy_with_don50.csv (#7329)
2023-06-21 15:26:58 -03:00
DoubleExponentialMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
EaseOfMovementValue.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
ExponentialMovingAverage.cs
Updated EMA indicator description (#7178)
2023-04-11 18:58:35 -03:00
FilteredIdentity.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
FisherTransform.cs
Fixes FishTransform Indicator
2019-05-13 17:57:08 +01:00
FractalAdaptiveMovingAverage.cs
Add potential fix to overflow bug in FractalAdaptiveMovingAverage.cs (#7689)
2024-01-11 17:20:46 -03:00
FunctionalIndicator.cs
Use IBaseData in type constraints
2016-11-09 09:20:16 -05:00
HeikinAshi.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
HilbertTransform.cs
Fixes bug in Hilbert Transform indicator (#7203)
2023-04-21 12:01:52 -03:00
HullMovingAverage.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
IchimokuKinkoHyo.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Identity.cs
Add IIndicatorWarmUpPeriodProvider for WindowIndicator.cs and Identity.cs indicators (#5984)
2021-10-15 11:10:59 -03:00
ImpliedVolatility.cs
Option Delta Indicator (#7704)
2024-01-29 12:54:57 -03:00
Indicator.cs
Indicators history rolling window (#7314)
2023-06-13 15:07:09 -03:00
IndicatorBase.cs
Return valid default value for indicator Previous property (#7404)
2023-07-28 18:36:13 -03:00
IndicatorBase.Operators.cs
Composite Indicator Fixes (#5929)
2021-09-16 17:58:10 -03:00
IndicatorExtensions.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
IndicatorResult.cs
Add IndicatorResult support to CompositeIndicator
2016-04-07 06:14:18 -04:00
IndicatorStatus.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
IntradayVwap.cs
Add IntradayVwap indicator w/ VWAP(symbol) helper
2018-04-06 16:27:14 -04:00
KaufmanAdaptiveMovingAverage.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
KaufmanEfficiencyRatio.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00
KeltnerChannels.cs
Updates KeltnerChannels to Update MiddleBand with EndTime (#6084)
2021-12-03 19:43:32 -03:00
LeastSquaresMovingAverage.cs
Fix bug in LeastSquaresMovingAverage (#7238)
2023-05-11 14:55:27 -03:00
LinearWeightedMovingAverage.cs
Update LinearWeightedMovingAverage (#7798)
2024-02-20 16:51:06 -03:00
LogReturn.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
MarketProfile.cs
Fix bug in MarketProfile indicator (#7310)
2023-06-09 19:14:45 -03:00
MassIndex.cs
Handle DivisionByZero exception in indicators (#7788)
2024-02-19 16:02:51 -03:00
Maximum.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
McClellanOscillator.cs
Add McClellanOscillator & McClellanSummationIndex Indicator (#7038)
2023-03-07 16:19:24 -03:00
McClellanSummationIndex.cs
Add McClellanOscillator & McClellanSummationIndex Indicator (#7038)
2023-03-07 16:19:24 -03:00
MeanAbsoluteDeviation.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MidPoint.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MidPrice.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Minimum.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Momentum.cs
Fix bug in Momentum indicator (#7424)
2023-08-09 14:56:24 -03:00
MomentumPercent.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
Momersion.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
MoneyFlowIndex.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
MovingAverageConvergenceDivergence.cs
Fix MACD WarmUpPeriod and Updating (#5110)
2021-01-08 16:58:53 -03:00
MovingAverageType.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
MovingAverageTypeExtensions.cs
Modernization of syntax used in argument check exceptions (#7380)
2023-07-17 14:53:17 -03:00
NormalizedAverageTrueRange.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
OnBalanceVolume.cs
Extends OnBalanceVolume, ParabolicStopAndReverse and RegressionChannel Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 10:08:48 +01:00
OptionGreekIndicatorBase.cs
Option Delta Indicator (#7704)
2024-01-29 12:54:57 -03:00
OptionGreekIndicatorsHelper.cs
Option Delta Indicator (#7704)
2024-01-29 12:54:57 -03:00
OptionIndicatorBase.cs
Option Delta Indicator (#7704)
2024-01-29 12:54:57 -03:00
OptionPricingModelType.cs
Implied Volatility Indicator for Options (#7680)
2024-01-18 13:50:49 -03:00
ParabolicStopAndReverse.cs
Extends OnBalanceVolume, ParabolicStopAndReverse and RegressionChannel Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 10:08:48 +01:00
PercentagePriceOscillator.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
PivotPointsHighLow.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
PythonIndicator.cs
Feature 5988 WarmUpIndicator() method for indicators written in Python (#6027)
2021-10-28 20:29:22 -03:00
QuantConnect.Indicators.csproj
Bump pythonnet version to 2.0.26 (#7616)
2023-12-08 13:38:39 -04:00
RateOfChange.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
RateOfChangePercent.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
RateOfChangeRatio.cs
Indicators with name starting with H to M.
2019-05-14 13:32:47 +01:00
RegressionChannel.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
RelativeDailyVolume.cs
Remove EnableAutomaticWarmUp and IIndicatorWarmUpPeriodProvider impl from RVA (#7344)
2023-06-30 16:15:27 -03:00
RelativeMovingAverage.cs
Relative Moving Average Indicator (#6297)
2022-04-25 13:13:20 -03:00
RelativeStrengthIndex.cs
Round AverageLoss to Avoid Very Small Numbers (#6003)
2021-10-21 17:00:31 -03:00
RelativeVigorIndex.cs
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
RelativeVigorIndexSignal.cs
Feature 4999 -- Adds RVI (#5041)
2021-01-08 11:11:00 -03:00
ResetCompositeIndicator.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
SchaffTrendCycle.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
SharpeRatio.cs
Risk-Free Interest Rate Model (#7594)
2023-11-22 16:17:34 -04:00
SimpleMovingAverage.cs
Extends a Series of Indicators With IIndicatorWarmUpPeriodProvider
2019-05-10 20:04:55 +01:00
SortinoRatio.cs
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
StandardDeviation.cs
Extends Sum, StandardDeviation and Variance Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:44:35 +01:00
Stochastics.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Sum.cs
Extends Sum, StandardDeviation and Variance Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:44:35 +01:00
SuperTrend.cs
Changes SuperTrend Indicator Type from TradeBarIndicator to BarIndicator (#6717)
2022-11-01 10:19:13 -03:00
SwissArmyKnife.cs
Update enum values in comments (#6460)
2022-07-05 10:29:28 -03:00
T3MovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
TargetDownsideDeviation.cs
Add Sortino indicator (#6696)
2022-10-28 18:12:33 -03:00
TimeProfile.cs
Add ValueAreaVolumePercentage Parameter (#5908)
2021-09-07 12:17:23 -03:00
TimeSeriesForecast.cs
Implement Time Series Forecast Indicator (#7654)
2024-01-04 16:20:29 -03:00
TimeSeriesIndicator.cs
Fix Lean Warnings V1 (#5408)
2021-03-22 11:08:48 -07:00
TradeBarIndicator.cs
Initial commit
2015-01-12 12:03:33 -03:00
TriangularMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
TripleExponentialMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
Trix.cs
Fix IsReady and WarmUpPeriod for RateOfChange (#5501)
2021-05-11 17:12:48 -03:00
TrueRange.cs
Extends NormalizedAverageTrueRange and TrueRange Indicators With IIndicatorWarmUpPeriodProvider
2019-05-15 14:31:22 +01:00
TrueStrengthIndex.cs
True Strength Index indicator (#6332)
2022-05-13 15:55:28 -03:00
UltimateOscillator.cs
Fix Ultimate Oscillator divide by zero exception (#7618)
2023-12-08 15:21:07 -03:00
ValueAtRisk.cs
Implement Risk Metrics: Value At Risk (#7757)
2024-02-26 11:02:20 -03:00
VariableIndexDynamicAverage.cs
Chande Variable Index Dynamic Average (VIDYA) Indicator (#7797)
2024-02-26 10:55:01 -03:00
Variance.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
VolumeProfile.cs
Add ValueAreaVolumePercentage Parameter (#5908)
2021-09-07 12:17:23 -03:00
VolumeWeightedAveragePriceIndicator.cs
Fix bug in VolumeWeightedAveragePriceIndicator (#7336)
2023-06-30 13:36:44 -03:00
WilderAccumulativeSwingIndex.cs
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
WilderMovingAverage.cs
Remove internal usages of implicit operator in Indicator code (#4844)
2020-10-12 10:31:05 -03:00
WilderSwingIndex.cs
Add Wilder Accumulative Swing Index (#5476)
2021-04-16 10:54:02 -03:00
WilliamsPercentR.cs
Extends RelativeStrengthIndex, Stochastic and WilliamsPercentR Indicators With IIndicatorWarmUpPeriodProvider
2019-05-23 09:54:02 +01:00
WindowIdentity.cs
Adds VWAP indicator via WeightedBy indicator extension
2016-04-21 19:34:52 -03:00
WindowIndicator.cs
Kaufman Efficiency Ratio Indicator (#6050)
2021-12-04 18:55:09 -03:00