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    Updates Equity Market Data (#5576)

    frostbyte_neo 发布于 2021-06-17 17:04:51 +00:00 | 2308 次提交 在此版本后已推送到 master

    • 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

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