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Regression alpha algorithm updates#2866

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jaredbroad merged 2 commits intomasterfrom
regression-alpha-algorithm-updates
Feb 1, 2019
Merged

Regression alpha algorithm updates#2866
jaredbroad merged 2 commits intomasterfrom
regression-alpha-algorithm-updates

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@StefanoRaggi
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Description

  • The expected statistics for the ForexCalendarAlpha and RebalancingLeveragedETFAlpha algorithms were out of date and have been updated to the current master branch
  • The actual statistics for RebalancingLeveragedETFAlpha were different between C# and Python version due to the Decimal changes introduced in C# decimal to Python conversion #2829, the algorithm has been updated to round return values before comparisons.

Related Issue

#2829

Motivation and Context

  1. Regression incorrect expected statistics
  2. Difference between C# and Python versions of the same algorithm

Requires Documentation Change

No.

How Has This Been Tested?

Alpha regression tests in the cloud.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • New feature (non-breaking change which adds functionality)
  • Breaking change (fix or feature that would cause existing functionality to change)
  • Non-functional change (xml comments/documentation/etc)

Checklist:

  • My code follows the code style of this project.
  • I have read the CONTRIBUTING document.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description or feature-<issue#>-<description>

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Merge pending understanding why the DFX algorithm changed: Algorithm.CSharp/Alphas/ForexCalendarAlpha.cs

@jaredbroad jaredbroad merged commit 2956a17 into master Feb 1, 2019
@StefanoRaggi StefanoRaggi deleted the regression-alpha-algorithm-updates branch February 2, 2019 00:23
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2 participants