Updates SPY Market Data (#5493)
* Fixes Double to Decimal Cast in GetAnnualPerformance `GetAnnualPerformance` raises an exception if the `AnnualPerformance` calculation returns a double that cannot be cast to decimal (smaller than `decimal.MinValue` or bigger than `decimal.MaxValue`). See `ProbabilisticSharpeRatio` where the same solution was applied. * Updates SPY Market Data SPY is a key asset since it is the default benchmark, and any change can lead to different `Alpha` and `Beta` * Updates Unit Tests to Reflect Data Update * Updates Regression Tests to Reflect Data Update I Most of the regression tests change because of updated data (market and factors) of SPY (default benchmark) while the total trade remain the same. * Updates Regression Tests to Reflect Data Update II The following regression tests were changed to adapt to adjusted prices and keep the total trades: - `BacktestingBrokerageRegressionAlgorithm` - `LimitIfTouchedRegressionAlgorithm` - `PortfolioRebalanceOnCustomFuncRegressionAlgorithm` - `SetAccountCurrencySecurityMarginModelRegressionAlgorithm` - `StopLossOnOrderEventRegressionAlgorithm` - `TimeInForceAlgorithm` The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before: - `FreePortfolioValueRegressionAlgorithm` 2 -> 3 - `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 291 -> 298 - `TrailingStopRiskFrameworkAlgorithm` 5 -> 7 Especial cases: - `AutoRegressiveIntegratedMovingAverageRegressionAlgorithm` 65 -> 52 - ARIMA model sensibility - `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 19 - BLM model sensibility - `ExtendedMarketHoursHistoryRegressionAlgorithm` 20 -> 18 - Less minute bars before market opens * Addresses Peer-Review Fix `BacktestingBrokerageRegressionAlgorithm` to use `CalculateOrderQuantity` and round down `quantity` to an even number to pass a value assertion and update the expected value from 50 to 52. The quantity calculated by `CalculateOrderQuantity` has changed from 50 to 53 because of factor file update.
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@@ -133,13 +133,13 @@ namespace QuantConnect.Algorithm.CSharp
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.898"},
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{"Beta", "-7.027"},
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{"Alpha", "-0.909"},
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{"Beta", "-5.676"},
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{"Annual Standard Deviation", "0.651"},
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{"Annual Variance", "0.424"},
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{"Information Ratio", "-1.396"},
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{"Tracking Error", "0.726"},
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{"Treynor Ratio", "0.142"},
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{"Information Ratio", "-1.362"},
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{"Tracking Error", "0.745"},
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{"Treynor Ratio", "0.176"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Fitness Score", "0.127"},
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