* add data count properties
* 'add history count property
* assert data counts
* update missing override
* consider override/virtual cases
* implement data count
* add message handler for regression tests
* use regression test message handler
* set algorithm manager for regression test message handler
* update data count
* check if stats are present, check if algo manager is not null
* update
* add c# algo
* make same as c# algo
* use new line
* logic shifted to RegressionTestMessageHandler
* cleanup
* auto cleanup
* skip non deterministic data count
* change data count
* use inheritance
* improve stats
* update couht
* add sma indicator to c# and customSMA to python
* call base method before executing further
* skip test
* revert to original
* add duplicate sma
* skip regression test
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* Implement solution with lightest changes possible
* Update regressions v1
* Adjust AlgorithmTradingTests
* Adjust PatternDayTradingMarginBuyingPowerModel tests
* Drop need to loop twice
* Adjust last unit test, with calculations included
* nit - comment fix
* Break out adjustment calculation to static function; add unit test
* Update Py regression
* Upgrade adjustment calculation to be smart enough to get us to target always
* nit - cleanup GetAmountToOrder
* Add license to test
* nit - comment fix
* cleanup GetAmountToOrder further
* Add additional test cases
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* Updates Equity Market Data
* Updates Unit Tests
* Updates Regression Tests
In this commit we include regression tests with small changes (slightly different CAGR, Alpha, etc, but same number of trades) due to the data update.
* Updates Regression Tests 2
The following regression tests were adapt because of verification of hard-coded market data values:
- `AdjustedVolumeRegressionAlgorithm`
- `HistoryWithSymbolChangesRegressionAlgorithm`
- `OptionRenameRegressionAlgorithm`
- `RawDataRegressionAlgorithm`
- `SwitchDataModeRegressionAlgorithm`
The following regression tests have more trades since adjusted prices allowed more 1-2 shares trades that were rounded down to zero before:
- `AddUniverseSelectionModelCoarseAlgorithm` 23 -> 35
- `MeanVarianceOptimizationFrameworkAlgorithm` 12 -> 14
- `PortfolioRebalanceOnDateRulesRegressionAlgorithm` 298 -> 324
- `PortfolioRebalanceOnInsightChangesRegressionAlgorithm` 83 -> 86
- `ScheduledUniverseSelectionModelRegressionAlgorithm` 86 -> 90
- `SectorExposureRiskFrameworkAlgorithm` 17 -> 22
- `SetHoldingsMultipleTargetsRegressionAlgorithm` 8 -> 9
- `StandardDeviationExecutionModelRegressionAlgorithm` 196 -> 199
- `UniverseUnchangedRegressionAlgorithm` 11 -> 17
- `VolumeWeightedAveragePriceExecutionModelRegressionAlgorithm` 237 -> 238
Especial cases:
- `BlackLittermanPortfolioOptimizationFrameworkAlgorithm` 18 -> 17
- BLM model sensibility
- `OptionChainedAndUniverseSelectionRegressionAlgorithm`
The following regression tests have different Capacity because of different volume from lowest capacity asset, except:
- `OptionEquityCoveredCallRegressionAlgorithm` New lowest capacity asset is underlying
- `OptionEquityCoveredPutRegressionAlgorithm` New lowest capacity asset is underlying
* Revert File Update for SPWR and SPWRA
* Fix Regression Tests
Temporarily removes python regression test for `MeanVarianceOptimizationFrameworkAlgorithm` as the `MeanVarianceOptimizationPortfolioConstructionModel` for each version are yeilding different results. If we use C# version in `MeanVarianceOptimizationPortfolioConstructionModel.py`, the results match.
* Changes Optimization Method in MinimumVariancePortfolioOptimizer [Py]
Uses `trust-constr` method.
See https://docs.scipy.org/doc/scipy/reference/generated/scipy.optimize.minimize.html
Ronit Jain