Add higher frequency equity sampling#9354
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JosueNina wants to merge 11 commits intoQuantConnect:masterfrom
Open
Add higher frequency equity sampling#9354JosueNina wants to merge 11 commits intoQuantConnect:masterfrom
JosueNina wants to merge 11 commits intoQuantConnect:masterfrom
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Did I build this |
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I investigated the failing Benchmarks job and the instability is concentrated in EmptySingleSecuritySecondEquityBenchmark. I pushed a targeted optimization commit that avoids extra allocations/type checks in Statistics.CalculateDrawdownMetrics while preserving the OHLC drawdown logic from this PR. Commit: KeerthiCHS@e20ceda You can apply it on this PR branch with: |
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Hey @aiSynergy37, thanks for the contribution. I cherry-picked your commit |
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Description
Previously, drawdown was calculated using the same equity samples as the chart, capped at 4000 points. Now a separate higher frequency series of up to 40000 close price samples is used, improving drawdown accuracy without affecting the chart.
Related Issue
Closes #8699
Motivation and Context
N/A
Requires Documentation Change
N/A
How Has This Been Tested?
It was tested using unit tests.
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>