Alexandre Catarino
5361f87dd1
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* 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
QuantConnect Testing
Before starting any testing, follow the installation instructions to get LEAN running C# algorithms in your machine. For any Python related tests please ensure you have followed the setup as described here.
If the above installation, build, and initial run was succesful than we can move forward to testing.
Visual Studio:
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Common Problems
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