Removes Assets that Are Not Invested and Not Tradable From Capacity Calculations (#5515)
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* Add property for capacity. Remove unused variable

* Move SymbolCapacity and CapacityEstimate to common, passed through Symbol to runtime statistics

* Add null checks

* Remove uninvested and untradable assets from capacty calculations

* Add SymbolCapacity influential period

* Updates Regression Tests

- DelistingEventsAlgorithm
  - Allows additional contributions from delisted AAA.1

- DelistingFutureOptionRegressionAlgorithm
  - Removes DC01H12 contributions one month later

- FutureOptionBuySellCallIntradayRegressionAlgorithm
  - Allows additional contributions from future after expiry replacing the contribution of the next contract option

- DelistedFutureLiquidateRegressionAlgorithm
- FutureOptionCallITMExpiryRegressionAlgorithm
- FutureOptionCallITMGreeksExpiryRegressionAlgorithm
- FutureOptionPutITMExpiryRegressionAlgorithm
- FutureOptionShortCallITMExpiryRegressionAlgorithm
- FutureOptionShortPutITMExpiryRegressionAlgorithm
- FuturesAndFuturesOptionsExpiryTimeAndLiquidationRegressionAlgorithm
  - Allows additional contributions from future after expiry

- FutureOptionCallOTMExpiryRegressionAlgorithm
- FutureOptionPutOTMExpiryRegressionAlgorithm
- FutureOptionShortPutOTMExpiryRegressionAlgorithm
- IndexOptionCallITMGreeksExpiryRegressionAlgorithm
- IndexOptionCallOTMExpiryRegressionAlgorithm
- IndexOptionShortCallOTMExpiryRegressionAlgorithm
  - Allows additional contributions from option after expiry

- MACDTrendAlgorithm
  - Removes contribution when SPY is not invested for over one month

- UniverseSelectionRegressionAlgorithm
  - Allows additional contributions from delisted GOOAV replacing GOOG (new symbols)

* Adds Lowest Capacity Asset to Regression Tests

* Normalize expected value -0, because -0 is also written to file if updated

* Write Symbol.Value for lowestCapacitySymbol or  empty string for empty Symbol

* Update Regressions

* Update 'Lowest Capacity Asset' to Symbol.ID

Co-authored-by: Jared Broad <jaredbroad@gmail.com>
Co-authored-by: Martin-Molinero <martin@quantconnect.com>
Co-authored-by: Colton Sellers <Colton.R.Sellers@gmail.com>
This commit is contained in:
Alexandre Catarino
2021-05-14 00:25:19 +01:00
committed by GitHub
parent 6af3f70fed
commit 58793acae8
217 changed files with 359 additions and 72 deletions
@@ -142,6 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
{"Treynor Ratio", "0.176"},
{"Total Fees", "$0.00"},
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", "NWSA.CustomDataUsingMapping T3MO1488O0H0"},
{"Fitness Score", "0.127"},
{"Kelly Criterion Estimate", "0"},
{"Kelly Criterion Probability Value", "0"},