Refactor python algorithm import (#5657)

* Python research import improvements

- Improve start.py for research env
- Remove unrequired imports

* Centralize algorithm imports

* Add regression test GH action

* Unit test python import clean up

* Join research and main imports

* More python import clean up

* Fix failing skipped regression algorithm

Algorithm.Python/ScikitLearnLinearRegressionAlgorithm.py

@@ -11,16 +11,7 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-import clr
-clr.AddReference("System")
-clr.AddReference("QuantConnect.Algorithm")
-clr.AddReference("QuantConnect.Common")
-
-from System import *
-from QuantConnect import *
-from QuantConnect.Algorithm import *
-
-import numpy as np
+from AlgorithmImports import *
 from sklearn.linear_model import LinearRegression
 
 class ScikitLearnLinearRegressionAlgorithm(QCAlgorithm):
@@ -98,4 +89,4 @@ class ScikitLearnLinearRegressionAlgorithm(QCAlgorithm):
         for symbol in self.symbols:
             # buy when slope larger than thod_buy
             if self.slopes[symbol] > thod_buy:
-                self.SetHoldings(symbol, 1 / len(self.symbols))
+                self.SetHoldings(symbol, 1 / len(self.symbols))