Merge pull request QuantConnect#4294 from QuantConnect/bug-4196-defau…

…lt-data-type SecurityCache default data type
Coulbe · Apr 9, 2020 · 81e16c6 · 81e16c6
2 parents c8d435d + 6ad123a
commit 81e16c6
Show file tree

Hide file tree

Showing 48 changed files with 595 additions and 527 deletions.
diff --git a/.../AccumulativeInsightFrameworkAlgorithm.cs → ...iveInsightPortfolioRegressionAlgorithm.cs b/.../AccumulativeInsightFrameworkAlgorithm.cs → ...iveInsightPortfolioRegressionAlgorithm.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -77,37 +77,43 @@ public override void OnEndOfAlgorithm()
             {"Total Trades", "199"},
             {"Average Win", "0.00%"},
             {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-12.485%"},
+            {"Compounding Annual Return", "-12.472%"},
             {"Drawdown", "0.200%"},
             {"Expectancy", "-0.586"},
             {"Net Profit", "-0.170%"},
-            {"Sharpe Ratio", "-9.706"},
+            {"Sharpe Ratio", "-9.693"},
+            {"Probabilistic Sharpe Ratio", "12.704%"},
             {"Loss Rate", "79%"},
             {"Win Rate", "21%"},
             {"Profit-Loss Ratio", "0.95"},
             {"Alpha", "-0.149"},
             {"Beta", "0.037"},
             {"Annual Standard Deviation", "0.008"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-9.473"},
+            {"Information Ratio", "-9.471"},
             {"Tracking Error", "0.212"},
-            {"Treynor Ratio", "-2.133"},
+            {"Treynor Ratio", "-2.13"},
             {"Total Fees", "$199.00"},
             {"Fitness Score", "0.002"},
+            {"Kelly Criterion Estimate", "38.64"},
+            {"Kelly Criterion Probability Value", "0.229"},
+            {"Sortino Ratio", "-21.545"},
+            {"Return Over Maximum Drawdown", "-77.972"},
+            {"Portfolio Turnover", "1.135"},
             {"Total Insights Generated", "100"},
             {"Total Insights Closed", "99"},
             {"Total Insights Analysis Completed", "99"},
             {"Long Insight Count", "100"},
             {"Short Insight Count", "0"},
             {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$123503.2947"},
-            {"Total Accumulated Estimated Alpha Value", "$19897.7530"},
-            {"Mean Population Estimated Insight Value", "$200.9874"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "59.0771%"},
-            {"Rolling Averaged Population Magnitude", "59.0771%"},
-            {"OrderListHash", "-1175325277"}
+            {"Estimated Monthly Alpha Value", "$126657.6305"},
+            {"Total Accumulated Estimated Alpha Value", "$20405.9516"},
+            {"Mean Population Estimated Insight Value", "$206.1207"},
+            {"Mean Population Direction", "54.5455%"},
+            {"Mean Population Magnitude", "54.5455%"},
+            {"Rolling Averaged Population Direction", "59.8056%"},
+            {"Rolling Averaged Population Magnitude", "59.8056%"},
+            {"OrderListHash", "1256341962"}
         };
     }
 }
diff --git a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs
@@ -114,28 +114,28 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Total Trades", "5"},
             {"Average Win", "0.47%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "292.259%"},
+            {"Compounding Annual Return", "293.067%"},
             {"Drawdown", "1.400%"},
             {"Expectancy", "0"},
-            {"Net Profit", "1.763%"},
-            {"Sharpe Ratio", "12.949"},
-            {"Probabilistic Sharpe Ratio", "80.016%"},
+            {"Net Profit", "1.765%"},
+            {"Sharpe Ratio", "13.11"},
+            {"Probabilistic Sharpe Ratio", "80.231%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.685"},
-            {"Beta", "0.705"},
-            {"Annual Standard Deviation", "0.158"},
+            {"Alpha", "0.705"},
+            {"Beta", "0.7"},
+            {"Annual Standard Deviation", "0.157"},
             {"Annual Variance", "0.025"},
-            {"Information Ratio", "1.639"},
-            {"Tracking Error", "0.071"},
-            {"Treynor Ratio", "2.897"},
-            {"Total Fees", "$26.40"},
+            {"Information Ratio", "1.76"},
+            {"Tracking Error", "0.072"},
+            {"Treynor Ratio", "2.933"},
+            {"Total Fees", "$26.39"},
             {"Fitness Score", "0.374"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "372.831"},
+            {"Return Over Maximum Drawdown", "373.973"},
             {"Portfolio Turnover", "0.374"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -150,7 +150,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "-2124644294"}
+            {"OrderListHash", "1779055144"}
         };
     }
 }
diff --git a/Algorithm.CSharp/AddRiskManagementAlgorithm.cs b/Algorithm.CSharp/AddRiskManagementAlgorithm.cs
@@ -67,43 +67,43 @@ public override void Initialize()
             {"Total Trades", "3"},
             {"Average Win", "1.02%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "287.341%"},
+            {"Compounding Annual Return", "289.119%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
-            {"Net Profit", "1.746%"},
-            {"Sharpe Ratio", "9.12"},
-            {"Probabilistic Sharpe Ratio", "67.799%"},
+            {"Net Profit", "1.752%"},
+            {"Sharpe Ratio", "9.235"},
+            {"Probabilistic Sharpe Ratio", "68.013%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "100%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "0.079"},
-            {"Beta", "1.023"},
-            {"Annual Standard Deviation", "0.225"},
-            {"Annual Variance", "0.051"},
-            {"Information Ratio", "20.828"},
+            {"Alpha", "0.105"},
+            {"Beta", "1.022"},
+            {"Annual Standard Deviation", "0.224"},
+            {"Annual Variance", "0.05"},
+            {"Information Ratio", "24.59"},
             {"Tracking Error", "0.006"},
-            {"Treynor Ratio", "2.004"},
+            {"Treynor Ratio", "2.029"},
             {"Total Fees", "$9.77"},
             {"Fitness Score", "0.747"},
-            {"Kelly Criterion Estimate", "38.794"},
+            {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "107.221"},
+            {"Return Over Maximum Drawdown", "107.109"},
             {"Portfolio Turnover", "0.747"},
             {"Total Insights Generated", "100"},
             {"Total Insights Closed", "99"},
             {"Total Insights Analysis Completed", "99"},
             {"Long Insight Count", "100"},
             {"Short Insight Count", "0"},
             {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$123503.2947"},
-            {"Total Accumulated Estimated Alpha Value", "$19897.7530"},
-            {"Mean Population Estimated Insight Value", "$200.9874"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "59.0771%"},
-            {"Rolling Averaged Population Magnitude", "59.0771%"},
-            {"OrderListHash", "-1315932053"}
+            {"Estimated Monthly Alpha Value", "$126657.6305"},
+            {"Total Accumulated Estimated Alpha Value", "$20405.9516"},
+            {"Mean Population Estimated Insight Value", "$206.1207"},
+            {"Mean Population Direction", "54.5455%"},
+            {"Mean Population Magnitude", "54.5455%"},
+            {"Rolling Averaged Population Direction", "59.8056%"},
+            {"Rolling Averaged Population Magnitude", "59.8056%"},
+            {"OrderListHash", "-887190565"}
         };
     }
 }
diff --git a/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs b/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs
@@ -113,28 +113,28 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
             {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "263.153%"},
+            {"Compounding Annual Return", "264.819%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
-            {"Net Profit", "1.663%"},
-            {"Sharpe Ratio", "8.637"},
-            {"Probabilistic Sharpe Ratio", "67.097%"},
+            {"Net Profit", "1.668%"},
+            {"Sharpe Ratio", "8.749"},
+            {"Probabilistic Sharpe Ratio", "67.311%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.029"},
-            {"Beta", "0.998"},
+            {"Alpha", "-0.005"},
+            {"Beta", "0.996"},
             {"Annual Standard Deviation", "0.219"},
             {"Annual Variance", "0.048"},
-            {"Information Ratio", "-44.117"},
+            {"Information Ratio", "-14.189"},
             {"Tracking Error", "0.001"},
-            {"Treynor Ratio", "1.898"},
+            {"Treynor Ratio", "1.922"},
             {"Total Fees", "$3.26"},
             {"Fitness Score", "0.248"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "93.83"},
+            {"Return Over Maximum Drawdown", "93.761"},
             {"Portfolio Turnover", "0.248"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -149,7 +149,7 @@ protected override decimal ComputeNextValue(IReadOnlyWindow<IndicatorDataPoint>
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1462414266"}
+            {"OrderListHash", "491919591"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateAlgorithm.cs b/Algorithm.CSharp/BasicTemplateAlgorithm.cs
@@ -80,28 +80,28 @@ public override void OnData(Slice data)
             {"Total Trades", "1"},
             {"Average Win", "0%"},
             {"Average Loss", "0%"},
-            {"Compounding Annual Return", "263.153%"},
+            {"Compounding Annual Return", "264.819%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "0"},
-            {"Net Profit", "1.663%"},
-            {"Sharpe Ratio", "8.637"},
-            {"Probabilistic Sharpe Ratio", "67.097%"},
+            {"Net Profit", "1.668%"},
+            {"Sharpe Ratio", "8.749"},
+            {"Probabilistic Sharpe Ratio", "67.311%"},
             {"Loss Rate", "0%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.029"},
-            {"Beta", "0.998"},
+            {"Alpha", "-0.005"},
+            {"Beta", "0.996"},
             {"Annual Standard Deviation", "0.219"},
             {"Annual Variance", "0.048"},
-            {"Information Ratio", "-44.117"},
+            {"Information Ratio", "-14.189"},
             {"Tracking Error", "0.001"},
-            {"Treynor Ratio", "1.898"},
+            {"Treynor Ratio", "1.922"},
             {"Total Fees", "$3.26"},
             {"Fitness Score", "0.248"},
             {"Kelly Criterion Estimate", "0"},
             {"Kelly Criterion Probability Value", "0"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "93.83"},
+            {"Return Over Maximum Drawdown", "93.761"},
             {"Portfolio Turnover", "0.248"},
             {"Total Insights Generated", "0"},
             {"Total Insights Closed", "0"},
@@ -116,7 +116,7 @@ public override void OnData(Slice data)
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1462414266"}
+            {"OrderListHash", "491919591"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
@@ -92,43 +92,43 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Total Trades", "3"},
             {"Average Win", "0%"},
             {"Average Loss", "-1.01%"},
-            {"Compounding Annual Return", "253.161%"},
+            {"Compounding Annual Return", "254.782%"},
             {"Drawdown", "2.200%"},
             {"Expectancy", "-1"},
-            {"Net Profit", "1.626%"},
-            {"Sharpe Ratio", "8.263"},
-            {"Probabilistic Sharpe Ratio", "66.348%"},
+            {"Net Profit", "1.632%"},
+            {"Sharpe Ratio", "8.371"},
+            {"Probabilistic Sharpe Ratio", "66.555%"},
             {"Loss Rate", "100%"},
             {"Win Rate", "0%"},
             {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.112"},
-            {"Beta", "1.008"},
+            {"Alpha", "-0.088"},
+            {"Beta", "1.006"},
             {"Annual Standard Deviation", "0.221"},
             {"Annual Variance", "0.049"},
-            {"Information Ratio", "-32.419"},
-            {"Tracking Error", "0.003"},
-            {"Treynor Ratio", "1.816"},
+            {"Information Ratio", "-32.586"},
+            {"Tracking Error", "0.002"},
+            {"Treynor Ratio", "1.839"},
             {"Total Fees", "$9.77"},
             {"Fitness Score", "0.747"},
-            {"Kelly Criterion Estimate", "38.794"},
+            {"Kelly Criterion Estimate", "38.64"},
             {"Kelly Criterion Probability Value", "0.229"},
             {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "85.241"},
+            {"Return Over Maximum Drawdown", "85.209"},
             {"Portfolio Turnover", "0.747"},
             {"Total Insights Generated", "100"},
             {"Total Insights Closed", "99"},
             {"Total Insights Analysis Completed", "99"},
             {"Long Insight Count", "100"},
             {"Short Insight Count", "0"},
             {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$123503.2947"},
-            {"Total Accumulated Estimated Alpha Value", "$19897.7530"},
-            {"Mean Population Estimated Insight Value", "$200.9874"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "59.0771%"},
-            {"Rolling Averaged Population Magnitude", "59.0771%"},
-            {"OrderListHash", "-184856600"}
+            {"Estimated Monthly Alpha Value", "$126657.6305"},
+            {"Total Accumulated Estimated Alpha Value", "$20405.9516"},
+            {"Mean Population Estimated Insight Value", "$206.1207"},
+            {"Mean Population Direction", "54.5455%"},
+            {"Mean Population Magnitude", "54.5455%"},
+            {"Rolling Averaged Population Direction", "59.8056%"},
+            {"Rolling Averaged Population Magnitude", "59.8056%"},
+            {"OrderListHash", "951346025"}
         };
     }
 }
diff --git a/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs b/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs
@@ -166,7 +166,7 @@ public override void OnEndOfAlgorithm()
             {"Mean Population Magnitude", "0%"},
             {"Rolling Averaged Population Direction", "0%"},
             {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "1688092444"}
+            {"OrderListHash", "-1991522721"}
         };
     }
 }