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Implement Risk Metrics: Value At Risk #7757

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wtindall1
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Description

Implemented Value at risk in PortfolioStatistics
Added ValueAtRisk indicator

Related Issue

Closes #6811

Motivation and Context

Value at risk was not supported

Requires Documentation Change

How Has This Been Tested?

Ran new and existing tests.
Calculation validated against external data file - Python script can be found in #6811 .

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

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@Martin-Molinero Martin-Molinero left a comment

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Thank you @wtindall1! 💪 leaving a couple of comments

Indicators/ValueAtRisk.cs Outdated Show resolved Hide resolved
Algorithm/QCAlgorithm.Indicators.cs Outdated Show resolved Hide resolved
Indicators/ValueAtRisk.cs Outdated Show resolved Hide resolved
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@Martin-Molinero Martin-Molinero left a comment

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Thank you! 💪

@Martin-Molinero Martin-Molinero merged commit 9cfd8b7 into QuantConnect:master Feb 26, 2024
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Implement Risk Metrics: Value At Risk
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