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Refactor MACD Alpha Model #7140

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LouisSzeto
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@LouisSzeto LouisSzeto commented Mar 27, 2023

Description

  • Add regression test of MACD alpha model (using BaseAlphaModelFrameworkRegressionAlgorithm)
  • Modify MACD alpha model to avoid double insight

Related Issue

closes #7090

Motivation and Context

avoid double insight (old signal + flat insight to cover it)

Requires Documentation Change

the model emits a flat insight -> Cancel the existing associated insight

How Has This Been Tested?

  • Unit test (no more flat insight emitted)
  • Regression algorithm
    The number of trades remained the same (as expected and desired), the performance is slightly difference due to cancel of insight rather than emitting another flat insight, so the liquidation happened 1 bar earlier.

Types of changes

  • Bug fix (non-breaking change which fixes an issue)
  • Refactor (non-breaking change which improves implementation)
  • Performance (non-breaking change which improves performance. Please add associated performance test and results)
  • 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.
  • I have added tests to cover my changes.
  • All new and existing tests passed.
  • My branch follows the naming convention bug-<issue#>-<description> or feature-<issue#>-<description>

@LouisSzeto LouisSzeto force-pushed the feature-7090-macd-alpha branch 2 times, most recently from a08198f to be8d72b Compare March 29, 2023 02:21
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@Martin-Molinero Martin-Molinero left a comment

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Cool! leaving a couple of comments

@Martin-Molinero Martin-Molinero merged commit d977eb2 into QuantConnect:master Apr 4, 2023
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Review Alpha Model: MacdAlphaModel
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