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.
This commit is contained in:
Alexandre Catarino
2021-04-19 17:31:01 +01:00
committed by GitHub
parent 5b10b3b509
commit 2b0fd2e607
200 changed files with 1865 additions and 1851 deletions
@@ -133,13 +133,13 @@ namespace QuantConnect.Algorithm.CSharp
{"Loss Rate", "0%"},
{"Win Rate", "0%"},
{"Profit-Loss Ratio", "0"},
{"Alpha", "-0.898"},
{"Beta", "-7.027"},
{"Alpha", "-0.909"},
{"Beta", "-5.676"},
{"Annual Standard Deviation", "0.651"},
{"Annual Variance", "0.424"},
{"Information Ratio", "-1.396"},
{"Tracking Error", "0.726"},
{"Treynor Ratio", "0.142"},
{"Information Ratio", "-1.362"},
{"Tracking Error", "0.745"},
{"Treynor Ratio", "0.176"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Fitness Score", "0.127"},