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Fixes Liquidate Existing Holdings Behavior for SetHoldings for Multiple Targets (#7009)
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* Adds Regression Test

The new regression test asserts that the total trades is 2.

* Fixes Liquidate Existing Holdings Bug

Liquidate existing holdings before open new postions.

* Addresses Peer-Review
This commit is contained in:
Alexandre Catarino
2023-02-24 17:46:12 +00:00
committed by GitHub
parent 56270464cc
commit 2a6771c1c0
5 changed files with 152 additions and 19 deletions
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Algorithm.Python/QuantConnect.Algorithm.PythonTools.pyproj
+2 -1
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@@ -149,6 +149,7 @@
<Compile Include="ScikitLearnLinearRegressionAlgorithm.py" />
<Compile Include="SectorExposureRiskFrameworkAlgorithm.py" />
<Compile Include="SectorWeightingFrameworkAlgorithm.py" />
<Compile Include="SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm.py" />
<Compile Include="SetHoldingsMultipleTargetsRegressionAlgorithm.py" />
<Compile Include="SmaCrossUniverseSelectionAlgorithm.py" />
<Compile Include="StandardDeviationExecutionModelRegressionAlgorithm.py" />
@@ -179,4 +180,4 @@
</Target>
<Target Name="AfterBuild">
</Target>
</Project>
</Project>