Security Re-Addition Behavior Tidy Up

Algorithm.CSharp/HistoricalReturnsAlphaModelFrameworkRegressionAlgorithm.cs

@@ -32,7 +32,7 @@ public override void Initialize()
 
         public override void OnEndOfAlgorithm()
         {
-            const int expected = 78;
+            const int expected = 80;
             if (Insights.TotalCount != expected)
             {
                 throw new RegressionTestException($"The total number of insights should be {expected}. Actual: {Insights.TotalCount}");
@@ -54,32 +54,32 @@ public override void OnEndOfAlgorithm()
         public override Dictionary<string, string> ExpectedStatistics => new()
         {
             {"Total Orders", "69"},
-            {"Average Win", "0.18%"},
+            {"Average Win", "0.17%"},
             {"Average Loss", "-0.15%"},
-            {"Compounding Annual Return", "42.429%"},
+            {"Compounding Annual Return", "46.315%"},
             {"Drawdown", "0.900%"},
-            {"Expectancy", "0.367"},
+            {"Expectancy", "0.292"},
             {"Start Equity", "100000"},
-            {"End Equity", "102949.54"},
-            {"Net Profit", "2.950%"},
-            {"Sharpe Ratio", "5.164"},
-            {"Sortino Ratio", "8.556"},
-            {"Probabilistic Sharpe Ratio", "90.449%"},
-            {"Loss Rate", "38%"},
-            {"Win Rate", "62%"},
-            {"Profit-Loss Ratio", "1.22"},
-            {"Alpha", "0.306"},
-            {"Beta", "-0.129"},
-            {"Annual Standard Deviation", "0.055"},
+            {"End Equity", "103177.61"},
+            {"Net Profit", "3.178%"},
+            {"Sharpe Ratio", "5.515"},
+            {"Sortino Ratio", "9.319"},
+            {"Probabilistic Sharpe Ratio", "91.936%"},
+            {"Loss Rate", "40%"},
+            {"Win Rate", "60%"},
+            {"Profit-Loss Ratio", "1.15"},
+            {"Alpha", "0.333"},
+            {"Beta", "-0.138"},
+            {"Annual Standard Deviation", "0.056"},
             {"Annual Variance", "0.003"},
-            {"Information Ratio", "1.181"},
-            {"Tracking Error", "0.077"},
-            {"Treynor Ratio", "-2.186"},
+            {"Information Ratio", "1.488"},
+            {"Tracking Error", "0.078"},
+            {"Treynor Ratio", "-2.221"},
             {"Total Fees", "$267.37"},
-            {"Estimated Strategy Capacity", "$6000000.00"},
+            {"Estimated Strategy Capacity", "$4000000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "65.87%"},
-            {"OrderListHash", "15bd0a959060b7ec5d77646e7e585f04"}
+            {"Portfolio Turnover", "65.85%"},
+            {"OrderListHash", "a30e9c3a0143e548439788896d94a670"}
         };
     }
 }

Algorithm.CSharp/OptionChainUniverseRemovalRegressionAlgorithm.cs

@@ -131,7 +131,7 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
                     }
                 }
             }
-            // We expect the equity to get Removed
+            // De equity is deselected, but it should not be removed since the options universe still selects it as the underlying
             else if (Time.Day == 7)
             {
                 if (Time.Hour != 0)
@@ -141,12 +141,12 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
 
                 // Options can be selected/deselected on this day, but the equity should be removed
 
-                if (changes.RemovedSecurities.Count == 0 || !changes.RemovedSecurities.Any(x => x.Symbol == _aapl))
+                if (changes.RemovedSecurities.Count == 0 || changes.RemovedSecurities.Any(x => x.Symbol == _aapl))
                 {
                     throw new RegressionTestException($"Unexpected SecurityChanges: {changes}");
                 }
             }
-            // We expect the options to get Removed, happens in the next loop after removing the equity
+            // We expect the options to get Removed, as well as the underlying, happens in the next loop after removing the equity
             else if (Time.Day == 9)
             {
                 if (Time.Hour != 0)

Algorithm.CSharp/PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm.cs

@@ -60,9 +60,10 @@ public override void OnEndOfAlgorithm()
         {
             // We have removed all securities from the universe. The Alpha Model should remove the consolidator
             var consolidatorCount = SubscriptionManager.Subscriptions.Sum(s => s.Consolidators.Count);
-            if (consolidatorCount > 0)
+            // Expect 2 consolidators for SPY and AIG, which where manually added at the start
+            if (consolidatorCount != 2)
             {
-                throw new RegressionTestException($"The number of consolidator is should be zero. Actual: {consolidatorCount}");
+                throw new RegressionTestException($"The number of consolidator is should be 2. Actual: {consolidatorCount}");
             }
         }
 
@@ -84,7 +85,7 @@ public override void OnEndOfAlgorithm()
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 1008;
+        public int AlgorithmHistoryDataPoints => 1512;
 
         /// <summary>
         /// Final status of the algorithm
@@ -97,32 +98,32 @@ public override void OnEndOfAlgorithm()
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "6"},
-            {"Average Win", "0.99%"},
-            {"Average Loss", "-0.84%"},
-            {"Compounding Annual Return", "24.021%"},
-            {"Drawdown", "0.800%"},
-            {"Expectancy", "0.089"},
+            {"Average Win", "0.82%"},
+            {"Average Loss", "-0.39%"},
+            {"Compounding Annual Return", "43.360%"},
+            {"Drawdown", "0.700%"},
+            {"Expectancy", "0.546"},
             {"Start Equity", "100000"},
-            {"End Equity", "100295.35"},
-            {"Net Profit", "0.295%"},
-            {"Sharpe Ratio", "4.205"},
+            {"End Equity", "100494.63"},
+            {"Net Profit", "0.495%"},
+            {"Sharpe Ratio", "10.477"},
             {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "61.706%"},
+            {"Probabilistic Sharpe Ratio", "85.907%"},
             {"Loss Rate", "50%"},
             {"Win Rate", "50%"},
-            {"Profit-Loss Ratio", "1.18"},
-            {"Alpha", "0.08"},
-            {"Beta", "0.06"},
-            {"Annual Standard Deviation", "0.047"},
-            {"Annual Variance", "0.002"},
-            {"Information Ratio", "-8.305"},
-            {"Tracking Error", "0.214"},
-            {"Treynor Ratio", "3.313"},
-            {"Total Fees", "$31.60"},
-            {"Estimated Strategy Capacity", "$3200000.00"},
+            {"Profit-Loss Ratio", "2.09"},
+            {"Alpha", "0.227"},
+            {"Beta", "0.066"},
+            {"Annual Standard Deviation", "0.034"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-7.7"},
+            {"Tracking Error", "0.21"},
+            {"Treynor Ratio", "5.41"},
+            {"Total Fees", "$25.78"},
+            {"Estimated Strategy Capacity", "$3300000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "80.47%"},
-            {"OrderListHash", "476d54ac7295563a79add3a80310a0a8"}
+            {"Portfolio Turnover", "60.55%"},
+            {"OrderListHash", "0eb251234d0fa772130bb341457091b4"}
         };
     }
 }

Algorithm.CSharp/RawPricesUniverseRegressionAlgorithm.cs

@@ -91,12 +91,12 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// <summary>
         /// Data Points count of all timeslices of algorithm
         /// </summary>
-        public long DataPoints => 135;
+        public long DataPoints => 144;
 
         /// <summary>
         /// Data Points count of the algorithm history
         /// </summary>
-        public int AlgorithmHistoryDataPoints => 30;
+        public int AlgorithmHistoryDataPoints => 90;
 
         /// <summary>
         /// Final status of the algorithm
@@ -108,33 +108,33 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
         /// </summary>
         public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
-            {"Total Orders", "12"},
-            {"Average Win", "0.34%"},
-            {"Average Loss", "-0.14%"},
-            {"Compounding Annual Return", "4.586%"},
-            {"Drawdown", "0.700%"},
-            {"Expectancy", "0.158"},
+            {"Total Orders", "33"},
+            {"Average Win", "0.22%"},
+            {"Average Loss", "-0.31%"},
+            {"Compounding Annual Return", "-25.889%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "-0.199"},
             {"Start Equity", "50000"},
-            {"End Equity", "50090.17"},
-            {"Net Profit", "0.180%"},
-            {"Sharpe Ratio", "5.991"},
-            {"Sortino Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "99.393%"},
-            {"Loss Rate", "67%"},
-            {"Win Rate", "33%"},
-            {"Profit-Loss Ratio", "2.47"},
-            {"Alpha", "0.17"},
-            {"Beta", "0.029"},
-            {"Annual Standard Deviation", "0.028"},
-            {"Annual Variance", "0.001"},
-            {"Information Ratio", "2.734"},
-            {"Tracking Error", "0.098"},
-            {"Treynor Ratio", "5.803"},
+            {"End Equity", "49401.67"},
+            {"Net Profit", "-1.197%"},
+            {"Sharpe Ratio", "-1.036"},
+            {"Sortino Ratio", "-0.681"},
+            {"Probabilistic Sharpe Ratio", "31.423%"},
+            {"Loss Rate", "53%"},
+            {"Win Rate", "47%"},
+            {"Profit-Loss Ratio", "0.72"},
+            {"Alpha", "-0.02"},
+            {"Beta", "0.682"},
+            {"Annual Standard Deviation", "0.086"},
+            {"Annual Variance", "0.007"},
+            {"Information Ratio", "0.195"},
+            {"Tracking Error", "0.063"},
+            {"Treynor Ratio", "-0.131"},
             {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$99000000.00"},
+            {"Estimated Strategy Capacity", "$220000000.00"},
             {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Portfolio Turnover", "15.96%"},
-            {"OrderListHash", "d915ae36ce856457b32ebbfce4581281"}
+            {"Portfolio Turnover", "44.69%"},
+            {"OrderListHash", "93b3a1c9d6234bf616f0a69a5129a781"}
         };
     }
 }

Algorithm.CSharp/RegressionTests/Universes/ETFConstituentUniverseCompositeDelistingRegressionAlgorithm.cs

@@ -116,8 +116,9 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
                 _universeAdded |= changes.AddedSecurities.Count == expectedChangesCount;
             }
 
-            // TODO: shouldn't be sending AAPL as a removed security since it was added by another universe
-            _universeRemoved |= changes.RemovedSecurities.Count == expectedChangesCount &&
+            // AAPL was added by another universe, so it should be removed when this universe is removed, hence "- 1"
+            _universeRemoved |= changes.RemovedSecurities.Count == expectedChangesCount - 1 &&
+                !changes.RemovedSecurities.Any(security => security.Symbol == _aapl) &&
                 UtcTime.Date >= _delistingDate &&
                 UtcTime.Date < EndDate;
         }

Algorithm.CSharp/RsiAlphaModelFrameworkRegressionAlgorithm.cs

@@ -35,9 +35,10 @@ public override void OnEndOfAlgorithm()
         {
             // We have removed all securities from the universe. The Alpha Model should remove the consolidator
             var consolidatorCount = SubscriptionManager.Subscriptions.Sum(s => s.Consolidators.Count);
-            if (consolidatorCount > 0)
-            {
-                throw new RegressionTestException($"The number of consolidators should be zero. Actual: {consolidatorCount}");
+            // Expect 2 consolidators for AAPL and AIG, which where manually added at the start
+            if (consolidatorCount != 2)
+                {
+                throw new RegressionTestException($"The number of consolidators should be 2. Actual: {consolidatorCount}");
             }
         }