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
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@@ -20,11 +20,11 @@ from CustomDataRegressionAlgorithm import Bitcoin
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class RegisterIndicatorRegressionAlgorithm(QCAlgorithm):
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# Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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def Initialize(self):
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self.SetStartDate(2013, 10, 8)
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self.SetStartDate(2013, 10, 7)
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self.SetEndDate(2013, 10, 9)
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SP500 = Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME)
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self._symbol = _symbol = self.FutureChainProvider.GetFutureContractList(SP500, self.StartDate)[0]
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self._symbol = _symbol = self.FutureChainProvider.GetFutureContractList(SP500, (self.StartDate + timedelta(days=1)))[0]
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self.AddFutureContract(_symbol)
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# this collection will hold all indicators and at the end of the algorithm we will assert that all of them are ready
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