Algorithm Sampling and Statistics Fixes (#5936)
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* Implement scheduled event sampling solution

* Use UTC time, only update daily portfolio value once a day

* For daily resolutions sample chart always

* Cleanup

* Drop resample daily all together

* Force final sample

* Regression updates

* FIx LiveResultHandler to update portfolio and benchmark values outside of sampling event

* Name the daily sampling event

* Address review pt 1

* Drop force and use reference wrapper

* Adjust tests

* Fix warning for Benchmark Timezone Misalignment and also add test

* Fix for daily resolution orders and test adjustments

* Also warn on universe settings with daily resolution

* Update missed regression

* Fix reference wrapper use

* Update regression after rebase

* Add values back in for Daylight Algo

* Have statistics builder skip day 1 performance

* Regression adjustments

* Test adjustments

* Update regression unit test

* Adjust some regressions starts to show performance values

* Add hourly algorithm for beta comparison

* Address missing Python regression changes

* Remove null comment
This commit is contained in:
Colton Sellers
2021-10-05 15:31:25 -07:00
committed by GitHub
parent 659735946a
commit d2d99b1f10
165 changed files with 1732 additions and 1461 deletions
@@ -20,11 +20,11 @@ from CustomDataRegressionAlgorithm import Bitcoin
class RegisterIndicatorRegressionAlgorithm(QCAlgorithm):
# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
def Initialize(self):
self.SetStartDate(2013, 10, 8)
self.SetStartDate(2013, 10, 7)
self.SetEndDate(2013, 10, 9)
SP500 = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)
self._symbol = _symbol = self.FutureChainProvider.GetFutureContractList(SP500, self.StartDate)[0]
self._symbol = _symbol = self.FutureChainProvider.GetFutureContractList(SP500, (self.StartDate + timedelta(days=1)))[0]
self.AddFutureContract(_symbol)
# this collection will hold all indicators and at the end of the algorithm we will assert that all of them are ready