Update regression algorithms to solve issues

Author: JosueNina

Algorithm.CSharp/PersistentCustomDataUniverseRegressionAlgorithm.cs

@@ -1,10 +1,22 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
 using System;
 using System.Collections.Generic;
-using System.Globalization;
 using System.Linq;
-using System.Threading.Tasks;
 using QuantConnect.Data;
-using QuantConnect.Data.UniverseSelection;
 using QuantConnect.Interfaces;
 
 namespace QuantConnect.Algorithm.CSharp
@@ -16,11 +28,12 @@ public class PersistentCustomDataUniverseRegressionAlgorithm : QCAlgorithm, IReg
 
         public override void Initialize()
         {
-            SetStartDate(2018, 1, 3);
-            SetEndDate(2018, 1, 20);
+            SetStartDate(2018, 6, 1);
+            SetEndDate(2018, 6, 19);
 
             var universe = AddUniverse<StockDataSource>("my-stock-data-source", Resolution.Daily, UniverseSelector);
             _universeSymbol = universe.Symbol;
+            var history = History(_universeSymbol, new DateTime(2018, 1, 1), new DateTime(2018, 6, 1), Resolution.Daily).ToList();
         }
 
         private IEnumerable<Symbol> UniverseSelector(IEnumerable<BaseData> data)
@@ -48,53 +61,57 @@ public override void OnEndOfAlgorithm()
             }
         }
 
+
         /// <summary>
         /// Our custom data type that defines where to get and how to read our backtest and live data.
         /// </summary>
-        class StockDataSource : BaseData
+        private class StockDataSource : BaseData
         {
-            private const string Url = @"https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1";
-
             public List<string> Symbols { get; set; }
 
             public StockDataSource()
             {
                 Symbols = new List<string>();
             }
 
+            public override DateTime EndTime
+            {
+                get { return Time + Period; }
+                set { Time = value - Period; }
+            }
+
+            public TimeSpan Period
+            {
+                get { return QuantConnect.Time.OneDay; }
+            }
+
             public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
             {
-                return new SubscriptionDataSource(Url, SubscriptionTransportMedium.RemoteFile);
+                string source = @"..\..\..\Tests\TestData\daily-stock-picker-backtest.csv";
+                return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
             }
 
             public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
             {
+                if (string.IsNullOrWhiteSpace(line) || !char.IsDigit(line[0]))
+                {
+                    return null;
+                }
+
+                var stocks = new StockDataSource { Symbol = config.Symbol };
+
                 try
                 {
-                    // create a new StockDataSource and set the symbol using config.Symbol
-                    var stocks = new StockDataSource { Symbol = config.Symbol };
-                    // break our line into csv pieces
                     var csv = line.ToCsv();
-                    if (isLiveMode)
-                    {
-                        // our live mode format does not have a date in the first column, so use date parameter
-                        stocks.Time = date;
-                        stocks.Symbols.AddRange(csv);
-                    }
-                    else
-                    {
-                        // our backtest mode format has the first column as date, parse it
-                        stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
-                        // any following comma separated values are symbols, save them off
-                        stocks.Symbols.AddRange(csv.Skip(1));
-                    }
-                    return stocks;
+                    stocks.Time = DateTime.ParseExact(csv[0], "yyyyMMdd", null);
+                    stocks.Symbols.AddRange(csv[1..]);
                 }
-                // return null if we encounter any errors
-                catch
+                catch (FormatException)
                 {
                     return null;
                 }
+
+                return stocks;
             }
         }
 
@@ -111,12 +128,12 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 26024;
+        public long DataPoints => 8767;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 0;
+        public int AlgorithmHistoryDataPoints => 149;
 
         /// <summary>
         /// Final status of the algorithm
@@ -147,8 +164,8 @@ public override BaseData Reader(SubscriptionDataConfig config, string line, Date
             {"Beta", "0"},
             {"Annual Standard Deviation", "0"},
             {"Annual Variance", "0"},
-            {"Information Ratio", "-12.133"},
-            {"Tracking Error", "0.059"},
+            {"Information Ratio", "-3.9"},
+            {"Tracking Error", "0.045"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.00"},
             {"Estimated Strategy Capacity", "$0"},

Algorithm.Python/PersistentCustomDataUniverseRegressionAlgorithm.py

@@ -1,14 +1,33 @@
-import datetime
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from datetime import timedelta
 from AlgorithmImports import *
 
+### <summary>
+### Example algorithm showing that Slice, Securities and Portfolio behave as a Python Dictionary
+### </summary>
 class PersistentCustomDataUniverseRegressionAlgorithm(QCAlgorithm):
 
     def Initialize(self):
-        self.set_start_date(2018, 1, 3)
-        self.set_end_date(2018, 1, 20)
+        self.set_start_date(2018, 6, 1)
+        self.set_end_date(2018, 6, 19)
 
         universe = self.add_universe(StockDataSource, "my-stock-data-source", Resolution.DAILY, self.universe_selector)
         self._universe_symbol = universe.symbol
+        history = list(self.history[StockDataSource](universe.symbol, datetime(2018, 1, 1), datetime(2018, 6, 1), Resolution.DAILY))
+        if (len(history) == 0):
+            raise Exception(f"No historical data received for symbol {universe.symbol} and the given date range.")
         self._data_received = False
 
     def universe_selector(self, data):
@@ -25,33 +44,26 @@ def OnEndOfAlgorithm(self) -> None:
 
 class StockDataSource(PythonData):
 
-    def __init__(self):
-        super().__init__()
-        self.Symbols = []
-
     def get_source(self, config: SubscriptionDataConfig, date: datetime, is_live: bool) -> SubscriptionDataSource:
-        url = "https://www.dropbox.com/s/ae1couew5ir3z9y/daily-stock-picker-backtest.csv?dl=1"
-        return SubscriptionDataSource(url, SubscriptionTransportMedium.RemoteFile)
+        source = "../../../Tests/TestData/daily-stock-picker-backtest.csv"
+        return SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.Csv)
 
     def reader(self, config: SubscriptionDataConfig, line: str, date: datetime, is_live: bool) -> BaseData:
-        if not line.strip():
-            return None
+        if not (line.strip() and line[0].isdigit()): return None
+
+        stocks = StockDataSource()
+        stocks.symbol = config.symbol
 
         try:
             csv = line.split(',')
-            stocks = StockDataSource()
-            stocks.Symbol = config.Symbol
-
-            if is_live:
-                # In live mode, the first column does not contain a date, so we use the provided date
-                stocks.Time = date
-                stocks.Symbols.extend(csv)
-            else:
-                # In backtest mode, the first column contains the date
-                stocks.Time = datetime.strptime(csv[0], "%Y%m%d")
-                stocks.Symbols.extend(csv[1:])
-
-            return stocks
-
-        except Exception:
-            return None
+            stocks.time = datetime.strptime(csv[0], "%Y%m%d")
+            stocks.end_time = stocks.time + self.period
+            stocks["Symbols"] = csv[1:]
+
+        except ValueError:
+            return None
+
+        return stocks
+    @property
+    def period(self) -> timedelta:
+        return timedelta(days=1)