Commit Graph

25 Commits

Author SHA1 Message Date
8090a5e093 Add ClosePosition log and fix bug in the initial stop limit adjustment where it was possible to adjust a stop limit downwards. 2025-02-11 19:19:05 -05:00
61ab01db83 Fix bug in initial stop limit adjustment where it is possible for a stop limit to be adjusted downwards. 2025-02-11 19:17:54 -05:00
0db4473632 Changes for MGSHBacktest model.
Code cleanup.
2025-02-10 07:57:00 -05:00
b7f72ef25a Fix Backtest runs VS production run. Align dates. 2025-02-07 15:59:27 -05:00
d882b10ec0 Fix dictionary access. 2025-02-07 15:57:21 -05:00
348471cbdf Fix MaxUpside 2025-02-06 16:47:00 -05:00
8bac96e8ff New model 2025-02-06 16:46:27 -05:00
47a92584a2 Remove unnecessary usings. 2025-02-02 16:50:31 -05:00
22b8abd7f1 Removed 2025-02-02 16:43:22 -05:00
4d9f18d21e Fix rejection statistics 2025-02-02 16:42:53 -05:00
2731016325 Replaced 2025-02-02 16:42:29 -05:00
2882559651 Fix GetMonthlyPrices in Prices. It was not correctly returning monthly prices.
This was causing an issue in the SharpeRatioGenerator whereby the SharpeRatio was not being calculated correctly where the asof date would
fall on a weekend of holiday.
Also, added a ReasonCategory to the CMCanidate as well as a Violation summary line in the model output to show where violations occur.
Had I implemented this previously I might have detected the SharpeRatio issue sooner.
Also added GetFundamentalMaxDateTop in the FundamentalDA which I used during debugging but is not currently being used anywhere.
2025-02-02 14:59:14 -05:00
1e130e3a15 Added ExponentialMovingAverageCrossover and moved all of the moving average stuff into it's own folder. 2025-01-31 18:13:22 -05:00
822221f9bb Code cleanup MovingAverageGenerator 2025-01-29 20:40:34 -05:00
a1b15682ce Fix issue in exponential moving average generator. Although I found where the generator was being used....the context
of the usage has no impact on the issue with the generator because the usage was only using the first index in the
exponential moving average which always amounts to just the value of the simple moving average.  (i.e.) smoothing does
not occur on the first index, only subsequent indices are smoothed.
2025-01-29 11:12:37 -05:00
84af4b6be5 Code cleanup. 2025-01-24 11:21:58 -05:00
c4b0011317 Fix potential issue when selecting the fallback candidate and share count is zero. 2025-01-20 09:44:09 -05:00
712ce1df84 Removed references to SharpeRatioRiskAllocation 2025-01-14 12:45:11 -05:00
323b259fc5 Removed references to SharpeRatioRiskAllocation 2025-01-14 12:44:57 -05:00
441b8e97ff Removed references to SharpeRatioRiskAllocation 2025-01-14 12:44:45 -05:00
eaee7826e0 Eliminate unused usings 2024-10-26 20:52:22 -04:00
93bc8fce03 Updating training October 2024 2024-10-26 12:27:07 -04:00
0d41cbaaf1 Changes to accomodate unit tests. 2024-08-01 17:25:48 -04:00
f1f53b697b Fix Non-TradeableCash missing in backup 2024-05-22 07:14:01 -04:00
29b417e3f7 init 2024-02-22 14:52:53 -05:00