Add project id for api notification (#7144 )

Fix some typos (#7138 )
* Fix typo who often -> how often Signed-off-by: hsm207 <hsm207@users.noreply.github.com> * Fix typo sometimes bug -> sometimes be buggy Signed-off-by: hsm207 <hsm207@users.noreply.github.com> * Correct number of options to run research nbs Signed-off-by: hsm207 <hsm207@users.noreply.github.com> --------- Signed-off-by: hsm207 <hsm207@users.noreply.github.com>
2023-03-27 15:59:51 -03:00 · 2023-03-27 10:29:52 -03:00 · 2023-03-24 09:40:50 -03:00 · 2023-03-23 15:29:04 -03:00 · 2023-03-23 13:43:09 -03:00 · 2023-03-23 13:41:03 -03:00
1068 changed files with 38135 additions and 22747 deletions
--- a/.github/workflows/gh-actions.yml
+++ b/.github/workflows/gh-actions.yml
@@ -19,7 +19,7 @@ jobs:
        run: dotnet build /p:Configuration=Release /v:quiet /p:WarningLevel=1 QuantConnect.Lean.sln

      - name: Run Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --blame-hang-timeout 300seconds --blame-crash --filter "TestCategory!=TravisExclude&TestCategory!=ResearchRegressionTests" -- TestRunParameters.Parameter\(name=\"log-handler\", value=\"ConsoleErrorLogHandler\"\)

      - name: Generate & Publish python stubs
        if: startsWith(github.ref, 'refs/tags/')
--- a/.github/workflows/virtual-environments.yml
+++ b/.github/workflows/virtual-environments.yml
@@ -31,31 +31,40 @@ jobs:
        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonVirtualEnvironmentTests.AssertVirtualEnvironment"

      - name: Run Python Package Tests
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests"
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests" --blame-hang-timeout 120seconds --blame-crash

-      - name: Run Pomegranate Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.PomegranateTest"
-
-      - name: Run Tensorforce Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorforceTests"
+      - name: Run Pomegranate & Tigramite Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.PomegranateTest|Tigramite" --blame-hang-timeout 120seconds --blame-crash

      - name: Run StableBaselines Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StableBaselinesTest"
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StableBaselinesTest" --blame-hang-timeout 120seconds --blame-crash

      - name: Run AxPlatform Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.AxPlatformTest"
-
-      - name: Run NeuralTangents Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NeuralTangentsTest"
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.AxPlatformTest" --blame-hang-timeout 120seconds --blame-crash

      - name: Run NBeats Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NBeatsTest"
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NBeatsTest" --blame-hang-timeout 120seconds --blame-crash

-      - name: Run Tensorly Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorlyTest"
+      - name: Run TensorlyTest Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorlyTest" --blame-hang-timeout 120seconds --blame-crash

-      - name: Run Ignite Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.IgniteTest"
+      - name: Run NeuralTangents, Ignite Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.NeuralTangentsTest|IgniteTest" --blame-hang-timeout 120seconds --blame-crash
+
+      - name: Run TensorflowTest
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowTest" --blame-hang-timeout 120seconds --blame-crash
+
+      - name: Run TensorflowProbability
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.TensorflowProbabilityTest" --blame-hang-timeout 120seconds --blame-crash

      - name: Run Hvplot Python Package Test
-        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest"
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.HvplotTest" --blame-hang-timeout 120seconds --blame-crash
+
+      - name: Run Hvplot Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.StellargraphTest" --blame-hang-timeout 120seconds --blame-crash
+
+      - name: Run Keras Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.KerasTest" --blame-hang-timeout 120seconds --blame-crash
+
+      - name: Run Keras Python Package Test
+        run: dotnet test ./Tests/bin/Release/QuantConnect.Tests.dll --filter "FullyQualifiedName=QuantConnect.Tests.Python.PythonPackagesTests.ScikerasTest" --blame-hang-timeout 120seconds --blame-crash
--- a/.vs/readme.md
+++ b/.vs/readme.md
@@ -20,8 +20,8 @@ To use Lean CLI follow the instructions for installation and tutorial for usage

 1. Install [.Net 6](https://dotnet.microsoft.com/download) for the project

-2. (Optional) Get [Python 3.6.8](https://www.python.org/downloads/release/python-368/) for running Python algorithms
-    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-36) for your platform
+2. (Optional) Get [Python 3.8.13](https://www.python.org/downloads/release/python-3813/) for running Python algorithms
+    - Follow Python instructions [here](https://github.com/QuantConnect/Lean/tree/master/Algorithm.Python#installing-python-38) for your platform

 3. Get [Visual Studio](https://visualstudio.microsoft.com/vs/)

--- a/.vscode/readme.md
+++ b/.vscode/readme.md
@@ -156,5 +156,5 @@ _Figure 2: Python Debugger Messages_
 Here we will cover some common issues with setting this up. This section will expand as we get user feedback!

 - The "project file cannot be loaded" and "nuget packages not found" errors occurs when the project files are open by another process in the host. Closing all applications and/or restarting the computer solve the issue.
- Autocomplete and reference finding with omnisharp can sometimes bug, if this occurs use the command palette to restart omnisharp. (Ctrl+Shift+P "OmniSharp: Restart OmniSharp")
+- Autocomplete and reference finding with omnisharp can sometimes be buggy, if this occurs use the command palette to restart omnisharp. (Ctrl+Shift+P "OmniSharp: Restart OmniSharp")
 - Any error messages about building in VSCode that point to comments in JSON. Either select **ignore** or follow steps described [here](https://stackoverflow.com/questions/47834825/in-vs-code-disable-error-comments-are-not-permitted-in-json) to remove the errors entirely.
--- a/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AccumulativeInsightPortfolioRegressionAlgorithm.cs
@@ -106,25 +106,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$199.00"},
            {"Estimated Strategy Capacity", "$26000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.002"},
-            {"Kelly Criterion Estimate", "38.796"},
-            {"Kelly Criterion Probability Value", "0.228"},
-            {"Sortino Ratio", "-22.493"},
-            {"Return Over Maximum Drawdown", "-77.93"},
-            {"Portfolio Turnover", "1.211"},
-            {"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", "$135639.1761"},
-            {"Total Accumulated Estimated Alpha Value", "$21852.9784"},
-            {"Mean Population Estimated Insight Value", "$220.7372"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "58.2788%"},
-            {"Rolling Averaged Population Magnitude", "58.2788%"},
+            {"Portfolio Turnover", "119.89%"},
            {"OrderListHash", "3c4c4085810cc5ecdb927d3647b9bbf3"}
        };
    }
--- a/Algorithm.CSharp/AddAlphaModelAlgorithm.cs
+++ b/Algorithm.CSharp/AddAlphaModelAlgorithm.cs
@@ -142,25 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$14.78"},
            {"Estimated Strategy Capacity", "$47000000.00"},
            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
-            {"Fitness Score", "0.408"},
-            {"Kelly Criterion Estimate", "16.559"},
-            {"Kelly Criterion Probability Value", "0.316"},
-            {"Sortino Ratio", "12.447"},
-            {"Return Over Maximum Drawdown", "106.327"},
-            {"Portfolio Turnover", "0.411"},
-            {"Total Insights Generated", "3"},
-            {"Total Insights Closed", "3"},
-            {"Total Insights Analysis Completed", "3"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "3"},
-            {"Long/Short Ratio", "0%"},
-            {"Estimated Monthly Alpha Value", "$20784418.6104"},
-            {"Total Accumulated Estimated Alpha Value", "$3579538.7607"},
-            {"Mean Population Estimated Insight Value", "$1193179.5869"},
-            {"Mean Population Direction", "100%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "100%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "41.18%"},
            {"OrderListHash", "9da9afe1e9137638a55db1676adc2be1"}
        };
    }
--- a/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddAndRemoveOptionContractRegressionAlgorithm.cs
@@ -119,25 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddAndRemoveSecuritySameLoopRegressionAlgorithm.cs
@@ -116,25 +116,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddBetaIndicatorRegressionAlgorithm.cs
@@ -136,25 +136,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1.00"},
            {"Estimated Strategy Capacity", "$35000000.00"},
            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
-            {"Fitness Score", "0.022"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "8.508"},
-            {"Return Over Maximum Drawdown", "58.894"},
-            {"Portfolio Turnover", "0.022"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "1.51%"},
            {"OrderListHash", "bd88c6a0e10c7e146b05377205101a12"}
        };
    }
--- a/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddFutureContractWithContinuousRegressionAlgorithm.cs
@@ -150,25 +150,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$8.60"},
            {"Estimated Strategy Capacity", "$5500000.00"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.417"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-81.518"},
-            {"Portfolio Turnover", "0.834"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "66.80%"},
            {"OrderListHash", "802a335b5c355e83b8cd2174f053c1b9"}
        };
    }
--- a/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddFutureOptionContractDataStreamingRegressionAlgorithm.cs
@@ -198,25 +198,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$8.60"},
            {"Estimated Strategy Capacity", "$22000000.00"},
            {"Lowest Capacity Asset", "ES XFH59UK0MYO1"},
-            {"Fitness Score", "1"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "2.035"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "122.11%"},
            {"OrderListHash", "e7021bd385f366771ae00abd3a46a22e"}
        };
    }
--- a/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddFutureOptionContractFromFutureChainRegressionAlgorithm.cs
@@ -127,25 +127,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$35.70"},
            {"Estimated Strategy Capacity", "$2600000.00"},
            {"Lowest Capacity Asset", "ES 31C3JQS9D84PW|ES XCZJLC9NOB29"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "495.15%"},
            {"OrderListHash", "64221a660525c4259d5bd852eef1299c"}
        };
    }
--- a/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddFutureOptionSingleOptionChainSelectedInUniverseFilterRegressionAlgorithm.cs
@@ -220,7 +220,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 608437;
+        public long DataPoints => 612882;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -254,25 +254,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.57"},
            {"Estimated Strategy Capacity", "$760000.00"},
            {"Lowest Capacity Asset", "ES XCZJLDQX2SRO|ES XCZJLC9NOB29"},
-            {"Fitness Score", "0.403"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.403"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "32.31%"},
            {"OrderListHash", "738240babf741f1bf79f85ea5026ec4c"}
        };
    }
--- a/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractExpiresRegressionAlgorithm.cs
@@ -151,25 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$67000000.00"},
            {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-43.418"},
-            {"Return Over Maximum Drawdown", "-14.274"},
-            {"Portfolio Turnover", "0.007"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.55%"},
            {"OrderListHash", "568fe7c2a11960436660db1231f2cfd2"}
        };
    }
--- a/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractFromUniverseRegressionAlgorithm.cs
@@ -203,25 +203,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$2800000.00"},
            {"Lowest Capacity Asset", "AOL VRKS95ENLBYE|AOL R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-19.883"},
-            {"Return Over Maximum Drawdown", "-67.224"},
-            {"Portfolio Turnover", "0.014"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "1.14%"},
            {"OrderListHash", "ae0b430e9c728966e3736fb352a689c6"}
        };
    }
--- a/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionContractTwiceRegressionAlgorithm.cs
@@ -150,25 +150,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$30000.00"},
            {"Lowest Capacity Asset", "AAPL VXBK4Q9ZIFD2|AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-89.181"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.07%"},
            {"OrderListHash", "546b6182e1df2d222178454d8f311566"}
        };
    }
--- a/Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddOptionWithOnMarketOpenOnlyFilterRegressionAlgorithm.cs
@@ -88,7 +88,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all time slices of algorithm
        /// </summary>
-        public long DataPoints => 3338420;
+        public long DataPoints => 6023980;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -122,25 +122,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddRemoveOptionUniverseRegressionAlgorithm.cs
@@ -247,25 +247,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$6.00"},
            {"Estimated Strategy Capacity", "$2000.00"},
            {"Lowest Capacity Asset", "GOOCV 305RBR0BSWIX2|GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "1.19%"},
            {"OrderListHash", "550a99c482106defd8ba15f48183768e"}
        };
    }
--- a/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddRemoveSecurityCacheRegressionAlgorithm.cs
@@ -117,25 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$21.45"},
            {"Estimated Strategy Capacity", "$830000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.204"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "43.135"},
-            {"Return Over Maximum Drawdown", "261.238"},
-            {"Portfolio Turnover", "0.204"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "20.49%"},
            {"OrderListHash", "6ee62edf1ac883882b0fcef8cb3e9bae"}
        };
    }
--- a/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddRemoveSecurityRegressionAlgorithm.cs
@@ -143,25 +143,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$28.30"},
            {"Estimated Strategy Capacity", "$4700000.00"},
            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Fitness Score", "0.374"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "372.086"},
-            {"Portfolio Turnover", "0.374"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "29.88%"},
            {"OrderListHash", "ac3f4dfcdeb98b488b715412ad2d6c4f"}
        };
    }
--- a/Algorithm.CSharp/AddRiskManagementAlgorithm.cs
+++ b/Algorithm.CSharp/AddRiskManagementAlgorithm.cs
@@ -96,25 +96,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$10.33"},
            {"Estimated Strategy Capacity", "$38000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.747"},
-            {"Kelly Criterion Estimate", "38.796"},
-            {"Kelly Criterion Probability Value", "0.228"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "107.013"},
-            {"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", "$135639.1761"},
-            {"Total Accumulated Estimated Alpha Value", "$21852.9784"},
-            {"Mean Population Estimated Insight Value", "$220.7372"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "58.2788%"},
-            {"Rolling Averaged Population Magnitude", "58.2788%"},
+            {"Portfolio Turnover", "59.74%"},
            {"OrderListHash", "af3a9c98c190d1b6b36fad184e796b0b"}
        };
    }
--- a/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AddTwoAndRemoveOneOptionContractRegressionAlgorithm.cs
@@ -135,25 +135,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$230000.00"},
            {"Lowest Capacity Asset", "AAPL VXBK4QQIRLZA|AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.25%"},
            {"OrderListHash", "228194dcc6fd8689a67f383577ee2d85"}
        };
    }
--- a/Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs
+++ b/Algorithm.CSharp/AddUniverseSelectionModelAlgorithm.cs
@@ -115,25 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$23.21"},
            {"Estimated Strategy Capacity", "$340000000.00"},
            {"Lowest Capacity Asset", "FB V6OIPNZEM8V9"},
-            {"Fitness Score", "0.147"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "1"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-4.352"},
-            {"Portfolio Turnover", "0.269"},
-            {"Total Insights Generated", "15"},
-            {"Total Insights Closed", "12"},
-            {"Total Insights Analysis Completed", "12"},
-            {"Long Insight Count", "15"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "26.96%"},
            {"OrderListHash", "a7a0983c8413ff241e7d223438f3d508"}
        };
    }
--- a/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs
+++ b/Algorithm.CSharp/AddUniverseSelectionModelCoarseAlgorithm.cs
@@ -126,25 +126,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$37.25"},
            {"Estimated Strategy Capacity", "$520000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.004"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "1"},
-            {"Sortino Ratio", "-4.469"},
-            {"Return Over Maximum Drawdown", "-13.057"},
-            {"Portfolio Turnover", "0.084"},
-            {"Total Insights Generated", "33"},
-            {"Total Insights Closed", "30"},
-            {"Total Insights Analysis Completed", "30"},
-            {"Long Insight Count", "33"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "7.34%"},
            {"OrderListHash", "f837879b96f5e565b60fd040299d2123"}
        };
    }
--- a/Algorithm.CSharp/AdjustedVolumeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AdjustedVolumeRegressionAlgorithm.cs
@@ -190,25 +190,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$21.60"},
            {"Estimated Strategy Capacity", "$42000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "99.56%"},
            {"OrderListHash", "18e41dded4f8cee548ee02b03ffb0814"}
        };
    }
--- a/Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AllShortableSymbolsCoarseSelectionRegressionAlgorithm.cs
@@ -223,25 +223,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$307.50"},
            {"Estimated Strategy Capacity", "$2600000.00"},
            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0.106"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.106"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "10.61%"},
            {"OrderListHash", "0069f402ffcd2d91b9018b81badfab81"}
        };
    }
--- a/Algorithm.CSharp/AlphaStreamsBasicTemplateAlgorithm.cs
+++ b/Algorithm.CSharp/AlphaStreamsBasicTemplateAlgorithm.cs
@@ -102,25 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$83000.00"},
            {"Lowest Capacity Asset", "BTCUSD XJ"},
-            {"Fitness Score", "0.017"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-138.588"},
-            {"Portfolio Turnover", "0.034"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "2.31%"},
            {"OrderListHash", "2b94bc50a74caebe06c075cdab1bc6da"}
        };
    }
--- a/Algorithm.CSharp/AlphaStreamsDifferentAccountCurrencyBasicTemplateAlgorithm.cs
+++ b/Algorithm.CSharp/AlphaStreamsDifferentAccountCurrencyBasicTemplateAlgorithm.cs
@@ -44,7 +44,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 6214;
+        public override long DataPoints => 6202;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -59,7 +59,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Trades", "2"},
            {"Average Win", "0.01%"},
            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "-78.502%"},
+            {"Compounding Annual Return", "-78.519%"},
            {"Drawdown", "3.100%"},
            {"Expectancy", "7.797"},
            {"Net Profit", "-1.134%"},
@@ -78,25 +78,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "€2.89"},
            {"Estimated Strategy Capacity", "€8900000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.506"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.506"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "€0"},
-            {"Total Accumulated Estimated Alpha Value", "€0"},
-            {"Mean Population Estimated Insight Value", "€0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "33.78%"},
            {"OrderListHash", "a9dd0a0ab6070455479d1b9caaa4e69c"}
        };
    }
--- a/Algorithm.CSharp/AlphaStreamsUniverseSelectionTemplateAlgorithm.cs
+++ b/Algorithm.CSharp/AlphaStreamsUniverseSelectionTemplateAlgorithm.cs
@@ -115,25 +115,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$83000.00"},
            {"Lowest Capacity Asset", "BTCUSD XJ"},
-            {"Fitness Score", "0.011"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-113.513"},
-            {"Portfolio Turnover", "0.023"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "2.31%"},
            {"OrderListHash", "2b94bc50a74caebe06c075cdab1bc6da"}
        };
    }
--- a/Algorithm.CSharp/AlphaStreamsWithHoldingsBasicTemplateAlgorithm.cs
+++ b/Algorithm.CSharp/AlphaStreamsWithHoldingsBasicTemplateAlgorithm.cs
@@ -129,25 +129,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.09"},
            {"Estimated Strategy Capacity", "$8900000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.511"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "6113.173"},
-            {"Portfolio Turnover", "0.511"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "34.12%"},
            {"OrderListHash", "788eb2c74715a78476ba0db3b2654eb6"}
        };
    }
--- a/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AutoRegressiveIntegratedMovingAverageRegressionAlgorithm.cs
@@ -110,25 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$52.00"},
            {"Estimated Strategy Capacity", "$32000000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "1.266"},
-            {"Return Over Maximum Drawdown", "1.622"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.02%"},
            {"OrderListHash", "cf43585a8d1781f04b53a4f1ee3380cb"}
        };
    }
--- a/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AutomaticIndicatorWarmupDataTypeRegressionAlgorithm.cs
@@ -180,25 +180,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$23.65"},
            {"Estimated Strategy Capacity", "$200000000.00"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.518"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-7.708"},
-            {"Portfolio Turnover", "5.277"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "351.80%"},
            {"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
        };
    }
--- a/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/AutomaticIndicatorWarmupRegressionAlgorithm.cs
@@ -142,25 +142,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.44"},
            {"Estimated Strategy Capacity", "$56000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.248"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "93.728"},
-            {"Portfolio Turnover", "0.248"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "19.93%"},
            {"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
        };
    }
--- a/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BacktestingBrokerageRegressionAlgorithm.cs
@@ -296,7 +296,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1748811;
+        public long DataPoints => 1341291;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -330,25 +330,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0.212"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-73.334"},
-            {"Portfolio Turnover", "0.425"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "17.02%"},
            {"OrderListHash", "85cbf92f01c2c91b5f710b7eeefecbe1"}
        };
    }
--- a/Algorithm.CSharp/BaseFrameworkRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BaseFrameworkRegressionAlgorithm.cs
@@ -0,0 +1,95 @@
+/*
+ * 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.Linq;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Abstract regression framework algorithm for multiple framework regression tests
+    /// </summary>
+    public abstract class BaseFrameworkRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2014, 6, 1);
+            SetEndDate(2014, 6, 30);
+
+            UniverseSettings.Resolution = Resolution.Hour;
+            UniverseSettings.DataNormalizationMode = DataNormalizationMode.Raw;
+
+            var symbols = new[] { "AAPL", "AIG", "BAC", "SPY" }
+                .Select(ticker => QuantConnect.Symbol.Create(ticker, SecurityType.Equity, Market.USA))
+                .ToList();
+
+            // Manually add AAPL and AIG when the algorithm starts
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols.Take(2)));
+
+            // At midnight, add all securities every day except on the last data
+            // With this procedure, the Alpha Model will experience multiple universe changes
+            AddUniverseSelection(new ScheduledUniverseSelectionModel(
+                DateRules.EveryDay(), TimeRules.Midnight,
+                dt => dt < EndDate.AddDays(-1) ? symbols : Enumerable.Empty<Symbol>()));
+
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(31), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+            SetRiskManagement(new NullRiskManagementModel());
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // The base implementation checks for active insights
+            var insightsCount = Insights.GetInsights(insight => insight.IsActive(UtcTime)).Count;
+            if (insightsCount != 0)
+            {
+                throw new Exception($"The number of active insights should be 0. Actual: {insightsCount}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 765;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public abstract Dictionary<string, string> ExpectedStatistics { get; }
+    }
+}
--- a/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicSetAccountCurrencyAlgorithm.cs
@@ -68,7 +68,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 4324;
+        public long DataPoints => 4319;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -102,25 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "€298.35"},
            {"Estimated Strategy Capacity", "€85000.00"},
            {"Lowest Capacity Asset", "BTCEUR XJ"},
-            {"Fitness Score", "0.506"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-13.614"},
-            {"Portfolio Turnover", "1.073"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "€0"},
-            {"Total Accumulated Estimated Alpha Value", "€0"},
-            {"Mean Population Estimated Insight Value", "€0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "107.64%"},
            {"OrderListHash", "2ba443899dcccc79dc0f04441f797bf9"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateAlgorithm.cs
@@ -109,25 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.44"},
            {"Estimated Strategy Capacity", "$56000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.248"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "93.728"},
-            {"Portfolio Turnover", "0.248"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "19.93%"},
            {"OrderListHash", "9e4bfd2eb0b81ee5bc1b197a87ccedbe"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateAtreyuAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateAtreyuAlgorithm.cs
@@ -110,25 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.60"},
            {"Estimated Strategy Capacity", "$150000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.062"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "71.634"},
-            {"Portfolio Turnover", "0.062"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "4.98%"},
            {"OrderListHash", "d549c64ee7f5e3866712b3c7dbd64caa"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateContinuousFutureAlgorithm.cs
@@ -118,7 +118,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 284403;
+        public long DataPoints => 709638;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -152,25 +152,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.30"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.006"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-1.993"},
-            {"Portfolio Turnover", "0.01"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.92%"},
            {"OrderListHash", "1fd4b49e9450800981c6dead2bbca995"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateContinuousFutureWithExtendedMarketAlgorithm.cs
@@ -123,7 +123,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 884815;
+        public long DataPoints => 2202510;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -157,25 +157,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.30"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.006"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-1.985"},
-            {"Portfolio Turnover", "0.01"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.92%"},
            {"OrderListHash", "adb237703e65b93da5961c0085109732"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateCryptoAlgorithm.cs
@@ -201,7 +201,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 12970;
+        public long DataPoints => 12965;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -235,25 +235,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$85.34"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "BTCEUR XJ"},
-            {"Fitness Score", "0.5"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-43.943"},
-            {"Portfolio Turnover", "1.028"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "118.08%"},
            {"OrderListHash", "1bf1a6d9dd921982b72a6178f9e50e68"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs
@@ -0,0 +1,274 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Brokerages;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.CryptoFuture;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Minute resolution regression algorithm trading Coin and USDT binance futures long and short asserting the behavior
+    /// </summary>
+    public class BasicTemplateCryptoFutureAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, int> _interestPerSymbol = new();
+        private CryptoFuture _btcUsd;
+        private CryptoFuture _adaUsdt;
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13); // Set Start Date
+            SetEndDate(2022, 12, 13); // Set End Date
+
+            SetTimeZone(NodaTime.DateTimeZone.Utc);
+
+            try
+            {
+                SetBrokerageModel(BrokerageName.BinanceFutures, AccountType.Cash);
+            }
+            catch (InvalidOperationException)
+            {
+                // expected, we don't allow cash account type
+            }
+            SetBrokerageModel(BrokerageName.BinanceFutures, AccountType.Margin);
+
+            _btcUsd = AddCryptoFuture("BTCUSD");
+            _adaUsdt = AddCryptoFuture("ADAUSDT");
+
+            _fast = EMA(_btcUsd.Symbol, 30, Resolution.Minute);
+            _slow = EMA(_btcUsd.Symbol, 60, Resolution.Minute);
+
+            _interestPerSymbol[_btcUsd.Symbol] = 0;
+            _interestPerSymbol[_adaUsdt.Symbol] = 0;
+
+            // Default USD cash, set 1M but it wont be used
+            SetCash(1000000);
+
+            // the amount of BTC we need to hold to trade 'BTCUSD'
+            _btcUsd.BaseCurrency.SetAmount(0.005m);
+            // the amount of USDT we need to hold to trade 'ADAUSDT'
+            _adaUsdt.QuoteCurrency.SetAmount(200);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice data)
+        {
+            var interestRates = data.Get<MarginInterestRate>();
+            foreach (var interestRate in interestRates)
+            {
+                _interestPerSymbol[interestRate.Key]++;
+
+                var cachedInterestRate = Securities[interestRate.Key].Cache.GetData<MarginInterestRate>();
+                if (cachedInterestRate != interestRate.Value)
+                {
+                    throw new Exception($"Unexpected cached margin interest rate for {interestRate.Key}!");
+                }
+            }
+
+            if (_fast > _slow)
+            {
+                if (!Portfolio.Invested && Transactions.OrdersCount == 0)
+                {
+                    var ticket = Buy(_btcUsd.Symbol, 50);
+                    if (ticket.Status != OrderStatus.Invalid)
+                    {
+                        throw new Exception($"Unexpected valid order {ticket}, should fail due to margin not sufficient");
+                    }
+
+                    Buy(_btcUsd.Symbol, 1);
+
+                    var marginUsed = Portfolio.TotalMarginUsed;
+                    var btcUsdHoldings = _btcUsd.Holdings;
+
+                    // Coin futures value is 100 USD
+                    var holdingsValueBtcUsd = 100;
+
+                    if (Math.Abs(btcUsdHoldings.TotalSaleVolume - holdingsValueBtcUsd) > 1)
+                    {
+                        throw new Exception($"Unexpected TotalSaleVolume {btcUsdHoldings.TotalSaleVolume}");
+                    }
+                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - holdingsValueBtcUsd) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
+                    }
+                    // margin used is based on the maintenance rate
+                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
+                        || _btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
+                    {
+                        throw new Exception($"Unexpected margin used {marginUsed}");
+                    }
+
+                    Buy(_adaUsdt.Symbol, 1000);
+
+                    marginUsed = Portfolio.TotalMarginUsed - marginUsed;
+                    var adaUsdtHoldings = _adaUsdt.Holdings;
+
+                    // USDT/BUSD futures value is based on it's price
+                    var holdingsValueUsdt = _adaUsdt.Price * _adaUsdt.SymbolProperties.ContractMultiplier * 1000;
+
+                    if (Math.Abs(adaUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected TotalSaleVolume {adaUsdtHoldings.TotalSaleVolume}");
+                    }
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
+                    }
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
+                        || _adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
+                    {
+                        throw new Exception($"Unexpected margin used {marginUsed}");
+                    }
+
+                    // position just opened should be just spread here
+                    var profit = Portfolio.TotalUnrealizedProfit;
+                    if ((5 - Math.Abs(profit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                    }
+
+                    if (Portfolio.TotalProfit != 0)
+                    {
+                        throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                    }
+                }
+            }
+            else
+            {
+                // let's revert our position and double
+                if (Time.Hour > 10 && Transactions.OrdersCount == 3)
+                {
+                    Sell(_btcUsd.Symbol, 3);
+
+                    var btcUsdHoldings = _btcUsd.Holdings;
+
+                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost - 100 * 2) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
+                    }
+
+                    Sell(_adaUsdt.Symbol, 3000);
+
+                    var adaUsdtHoldings = _adaUsdt.Holdings;
+
+                    // USDT/BUSD futures value is based on it's price
+                    var holdingsValueUsdt = _adaUsdt.Price * _adaUsdt.SymbolProperties.ContractMultiplier * 2000;
+
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
+                    }
+
+                    // position just opened should be just spread here
+                    var profit = Portfolio.TotalUnrealizedProfit;
+                    if ((5 - Math.Abs(profit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                    }
+                    // we barely did any difference on the previous trade
+                    if ((5 - Math.Abs(Portfolio.TotalProfit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_interestPerSymbol[_adaUsdt.Symbol] != 1)
+            {
+                throw new Exception($"Unexpected interest rate count {_interestPerSymbol[_adaUsdt.Symbol]}");
+            }
+
+            if (_interestPerSymbol[_btcUsd.Symbol] != 3)
+            {
+                throw new Exception($"Unexpected interest rate count {_interestPerSymbol[_btcUsd.Symbol]}");
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 7205;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "4"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.65"},
+            {"Estimated Strategy Capacity", "$630000000.00"},
+            {"Lowest Capacity Asset", "ADAUSDT 18R"},
+            {"Portfolio Turnover", "0.16%"},
+            {"OrderListHash", "d4520985f69c915060f6bee3b7926cf5"}
+        };
+    }
+}
--- a/Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs
@@ -0,0 +1,237 @@
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+using QuantConnect.Brokerages;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.CryptoFuture;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Hourly regression algorithm trading ADAUSDT binance futures long and short asserting the behavior
+    /// </summary>
+    public class BasicTemplateCryptoFutureHourlyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, int> _interestPerSymbol = new();
+        private CryptoFuture _adaUsdt;
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            SetTimeZone(NodaTime.DateTimeZone.Utc);
+
+            try
+            {
+                SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Cash);
+            }
+            catch (InvalidOperationException)
+            {
+                // expected, we don't allow cash account type
+            }
+            SetBrokerageModel(BrokerageName.BinanceCoinFutures, AccountType.Margin);
+
+            _adaUsdt = AddCryptoFuture("ADAUSDT", Resolution.Hour);
+
+            _fast = EMA(_adaUsdt.Symbol, 3, Resolution.Hour);
+            _slow = EMA(_adaUsdt.Symbol, 6, Resolution.Hour);
+
+            _interestPerSymbol[_adaUsdt.Symbol] = 0;
+
+            // Default USD cash, set 1M but it wont be used
+            SetCash(1000000);
+
+            // the amount of USDT we need to hold to trade 'ADAUSDT'
+            _adaUsdt.QuoteCurrency.SetAmount(200);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice data)
+        {
+            var interestRates = data.Get<MarginInterestRate>();
+            foreach (var interestRate in interestRates)
+            {
+                _interestPerSymbol[interestRate.Key]++;
+
+                var cachedInterestRate = Securities[interestRate.Key].Cache.GetData<MarginInterestRate>();
+                if (cachedInterestRate != interestRate.Value)
+                {
+                    throw new Exception($"Unexpected cached margin interest rate for {interestRate.Key}!");
+                }
+            }
+
+            if (_fast > _slow)
+            {
+                if (!Portfolio.Invested && Transactions.OrdersCount == 0)
+                {
+                    var ticket = Buy(_adaUsdt.Symbol, 100000);
+                    if(ticket.Status != OrderStatus.Invalid)
+                    {
+                        throw new Exception($"Unexpected valid order {ticket}, should fail due to margin not sufficient");
+                    }
+
+                    Buy(_adaUsdt.Symbol, 1000);
+
+                    var marginUsed = Portfolio.TotalMarginUsed;
+                    var adaUsdtHoldings = _adaUsdt.Holdings;
+
+                    // USDT/BUSD futures value is based on it's price
+                    var holdingsValueUsdt = _adaUsdt.Price * _adaUsdt.SymbolProperties.ContractMultiplier * 1000;
+
+                    if (Math.Abs(adaUsdtHoldings.TotalSaleVolume - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected TotalSaleVolume {adaUsdtHoldings.TotalSaleVolume}");
+                    }
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
+                    }
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
+                        || _adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
+                    {
+                        throw new Exception($"Unexpected margin used {marginUsed}");
+                    }
+
+                    // position just opened should be just spread here
+                    var profit = Portfolio.TotalUnrealizedProfit;
+                    if ((5 - Math.Abs(profit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                    }
+
+                    if (Portfolio.TotalProfit != 0)
+                    {
+                        throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                    }
+                }
+            }
+            else
+            {
+                // let's revert our position and double
+                if (Time.Hour > 10 && Transactions.OrdersCount == 2)
+                {
+                    Sell(_adaUsdt.Symbol, 3000);
+
+                    var adaUsdtHoldings = _adaUsdt.Holdings;
+
+                    // USDT/BUSD futures value is based on it's price
+                    var holdingsValueUsdt = _adaUsdt.Price * _adaUsdt.SymbolProperties.ContractMultiplier * 2000;
+
+                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost - holdingsValueUsdt) > 1)
+                    {
+                        throw new Exception($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
+                    }
+
+                    // position just opened should be just spread here
+                    var profit = Portfolio.TotalUnrealizedProfit;
+                    if ((5 - Math.Abs(profit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalUnrealizedProfit {Portfolio.TotalUnrealizedProfit}");
+                    }
+                    // we barely did any difference on the previous trade
+                    if ((5 - Math.Abs(Portfolio.TotalProfit)) < 0)
+                    {
+                        throw new Exception($"Unexpected TotalProfit {Portfolio.TotalProfit}");
+                    }
+                }
+
+                if (Time.Hour >= 22 && Transactions.OrdersCount == 3)
+                {
+                    Liquidate();
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_interestPerSymbol[_adaUsdt.Symbol] != 1)
+            {
+                throw new Exception($"Unexpected interest rate count {_interestPerSymbol[_adaUsdt.Symbol]}");
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(Time + " " + orderEvent);
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 50;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.61"},
+            {"Estimated Strategy Capacity", "$520000000.00"},
+            {"Lowest Capacity Asset", "ADAUSDT 18R"},
+            {"Portfolio Turnover", "0.12%"},
+            {"OrderListHash", "17f99ecc3f35f94fff1ea5694c40d32c"}
+        };
+    }
+}
--- a/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateDailyAlgorithm.cs
@@ -100,25 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.45"},
            {"Estimated Strategy Capacity", "$970000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.112"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "53.951"},
-            {"Return Over Maximum Drawdown", "209.464"},
-            {"Portfolio Turnover", "0.112"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "10.09%"},
            {"OrderListHash", "33d01821923c397f999cfb2e5b5928ad"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFrameworkAlgorithm.cs
@@ -121,25 +121,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$10.32"},
            {"Estimated Strategy Capacity", "$27000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.747"},
-            {"Kelly Criterion Estimate", "38.796"},
-            {"Kelly Criterion Probability Value", "0.228"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "85.095"},
-            {"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", "$135639.1761"},
-            {"Total Accumulated Estimated Alpha Value", "$21852.9784"},
-            {"Mean Population Estimated Insight Value", "$220.7372"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "58.2788%"},
-            {"Rolling Averaged Population Magnitude", "58.2788%"},
+            {"Portfolio Turnover", "59.86%"},
            {"OrderListHash", "ad2216297c759d8e5aef48ff065f8919"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFutureRolloverAlgorithm.cs
@@ -0,0 +1,217 @@
+/*
+ * 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.Collections.Generic;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Example algorithm for trading continuous future
+    /// </summary>
+    public class BasicTemplateFutureRolloverAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Dictionary<Symbol, SymbolData> _symbolDataBySymbol = new();
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 8);
+            SetEndDate(2013, 12, 10);
+            SetCash(1000000);
+
+            var futures = new List<string> {
+                Futures.Indices.SP500EMini
+            };
+
+            foreach (var future in futures)
+            {
+                // Requesting data
+                var continuousContract = AddFuture(future,
+                    resolution: Resolution.Daily,
+                    extendedMarketHours: true,
+                    dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                    dataMappingMode: DataMappingMode.OpenInterest,
+                    contractDepthOffset: 0
+                );
+
+                var symbolData = new SymbolData(this, continuousContract);
+                _symbolDataBySymbol.Add(continuousContract.Symbol, symbolData);
+            }
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var kvp in _symbolDataBySymbol)
+            {
+                var symbol = kvp.Key;
+                var symbolData = kvp.Value;
+
+                // Call SymbolData.Update() method to handle new data slice received
+                symbolData.Update(slice);
+
+                // Check if information in SymbolData class and new slice data are ready for trading
+                if (!symbolData.IsReady || !slice.Bars.ContainsKey(symbol))
+                {
+                    return;
+                }
+
+                var emaCurrentValue = symbolData.EMA.Current.Value;
+                if (emaCurrentValue < symbolData.Price && !symbolData.IsLong)
+                {
+                    MarketOrder(symbolData.Mapped, 1);
+                }
+                else if (emaCurrentValue > symbolData.Price && !symbolData.IsShort)
+                {
+                    MarketOrder(symbolData.Mapped, -1);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Abstracted class object to hold information (state, indicators, methods, etc.) from a Symbol/Security in a multi-security algorithm
+        /// </summary>
+        public class SymbolData
+        {
+            private QCAlgorithm _algorithm;
+            private Future _future;
+            public ExponentialMovingAverage EMA;
+            public decimal Price;
+            public bool IsLong;
+            public bool IsShort;
+            public Symbol Symbol => _future.Symbol;
+            public Symbol Mapped => _future.Mapped;
+
+            /// <summary>
+            /// Check if symbolData class object are ready for trading
+            /// </summary>
+            public bool IsReady => Mapped != null && EMA.IsReady;
+
+            /// <summary>
+            /// Constructor to instantiate the information needed to be hold
+            /// </summary>
+            public SymbolData(QCAlgorithm algorithm, Future future)
+            {
+                _algorithm = algorithm;
+                _future = future;
+                EMA = algorithm.EMA(future.Symbol, 20, Resolution.Daily);
+
+                Reset();
+            }
+
+            /// <summary>
+            /// Handler of new slice of data received
+            /// </summary>
+            public void Update(Slice slice)
+            {
+                if (slice.SymbolChangedEvents.TryGetValue(Symbol, out var changedEvent))
+                {
+                    var oldSymbol = changedEvent.OldSymbol;
+                    var newSymbol = changedEvent.NewSymbol;
+                    var tag = $"Rollover - Symbol changed at {_algorithm.Time}: {oldSymbol} -> {newSymbol}";
+                    var quantity = _algorithm.Portfolio[oldSymbol].Quantity;
+
+                    // Rolling over: to liquidate any position of the old mapped contract and switch to the newly mapped contract
+                    _algorithm.Liquidate(oldSymbol, tag: tag);
+                    _algorithm.MarketOrder(newSymbol, quantity, tag: tag);
+
+                    Reset();
+                }
+
+                Price = slice.Bars.ContainsKey(Symbol) ? slice.Bars[Symbol].Price : Price;
+                IsLong = _algorithm.Portfolio[Mapped].IsLong;
+                IsShort = _algorithm.Portfolio[Mapped].IsShort;
+            }
+
+            /// <summary>
+            /// Reset RollingWindow/indicator to adapt to newly mapped contract, then warm up the RollingWindow/indicator
+            /// </summary>
+            private void Reset()
+            {
+                EMA.Reset();
+                _algorithm.WarmUpIndicator(Symbol, EMA, Resolution.Daily);
+            }
+
+            /// <summary>
+            /// Disposal method to remove consolidator/update method handler, and reset RollingWindow/indicator to free up memory and speed
+            /// </summary>
+            public void Dispose()
+            {
+                EMA.Reset();
+            }
+        }
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 1345;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 4;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "2"},
+            {"Average Win", "0.53%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "3.011%"},
+            {"Drawdown", "0.000%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0.528%"},
+            {"Sharpe Ratio", "1.999"},
+            {"Probabilistic Sharpe Ratio", "83.704%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.023"},
+            {"Beta", "-0.004"},
+            {"Annual Standard Deviation", "0.011"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-4.774"},
+            {"Tracking Error", "0.084"},
+            {"Treynor Ratio", "-4.853"},
+            {"Total Fees", "$4.30"},
+            {"Estimated Strategy Capacity", "$5900000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "0.27%"},
+            {"OrderListHash", "40e4b91ec89383f6501d9ba324e50eb9"}
+        };
+    }  
+}
--- a/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesAlgorithm.cs
@@ -185,25 +185,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$6237.00"},
            {"Estimated Strategy Capacity", "$14000.00"},
            {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
-            {"Fitness Score", "0.001"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-58.725"},
-            {"Return Over Maximum Drawdown", "-32.073"},
-            {"Portfolio Turnover", "98.477"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "9912.69%"},
            {"OrderListHash", "8f92e1528c6477a156449fd1e86527e7"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesDailyAlgorithm.cs
@@ -117,7 +117,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public virtual long DataPoints => 11709;
+        public virtual long DataPoints => 15217;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -151,25 +151,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$263.30"},
            {"Estimated Strategy Capacity", "$1000.00"},
            {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Fitness Score", "0.01"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-1.059"},
-            {"Return Over Maximum Drawdown", "-0.992"},
-            {"Portfolio Turnover", "0.031"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "3.15%"},
            {"OrderListHash", "b75b224669c374dcbacc33f946a1cc7c"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesFrameworkAlgorithm.cs
@@ -170,25 +170,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.62"},
            {"Estimated Strategy Capacity", "$17000000.00"},
            {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
-            {"Fitness Score", "0.006"},
-            {"Kelly Criterion Estimate", "-50.022"},
-            {"Kelly Criterion Probability Value", "0.711"},
-            {"Sortino Ratio", "-9.907"},
-            {"Return Over Maximum Drawdown", "-50.79"},
-            {"Portfolio Turnover", "0.54"},
-            {"Total Insights Generated", "5"},
-            {"Total Insights Closed", "4"},
-            {"Total Insights Analysis Completed", "4"},
-            {"Long Insight Count", "5"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$-4434.791"},
-            {"Total Accumulated Estimated Alpha Value", "$-720.6535"},
-            {"Mean Population Estimated Insight Value", "$-180.1634"},
-            {"Mean Population Direction", "25%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "25%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "43.23%"},
            {"OrderListHash", "323b899ae80aa839e320806411665ce7"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesFrameworkWithExtendedMarketAlgorithm.cs
@@ -70,25 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.62"},
            {"Estimated Strategy Capacity", "$52000000.00"},
            {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
-            {"Fitness Score", "0.009"},
-            {"Kelly Criterion Estimate", "-112.972"},
-            {"Kelly Criterion Probability Value", "0.671"},
-            {"Sortino Ratio", "-8.421"},
-            {"Return Over Maximum Drawdown", "-35.2"},
-            {"Portfolio Turnover", "0.548"},
-            {"Total Insights Generated", "6"},
-            {"Total Insights Closed", "5"},
-            {"Total Insights Analysis Completed", "5"},
-            {"Long Insight Count", "6"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$-96.12923"},
-            {"Total Accumulated Estimated Alpha Value", "$-15.621"},
-            {"Mean Population Estimated Insight Value", "$-3.1242"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "43.77%"},
            {"OrderListHash", "18ffd3a774c68da83d867e3b09e3e05d"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesHistoryAlgorithm.cs
@@ -174,25 +174,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesHistoryWithExtendedMarketHoursAlgorithm.cs
@@ -81,25 +81,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesHourlyAlgorithm.cs
@@ -41,7 +41,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 73252;
+        public override long DataPoints => 96027;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -70,25 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1456.18"},
            {"Estimated Strategy Capacity", "$6000.00"},
            {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Fitness Score", "0.045"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-4.326"},
-            {"Return Over Maximum Drawdown", "-0.994"},
-            {"Portfolio Turnover", "0.205"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "17.91%"},
            {"OrderListHash", "8842e0b890f721371ebf3c25328dee5b"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketAlgorithm.cs
@@ -185,25 +185,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$19131.42"},
            {"Estimated Strategy Capacity", "$130000.00"},
            {"Lowest Capacity Asset", "GC VOFJUCDY9XNH"},
-            {"Fitness Score", "0.032"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-9.217"},
-            {"Return Over Maximum Drawdown", "-7.692"},
-            {"Portfolio Turnover", "304.869"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "32523.20%"},
            {"OrderListHash", "85cdd035d7c7a3da178d1c2dff31f1bd"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketDailyAlgorithm.cs
@@ -43,7 +43,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 13559;
+        public override long DataPoints => 17431;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -72,25 +72,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$338.96"},
            {"Estimated Strategy Capacity", "$1000.00"},
            {"Lowest Capacity Asset", "ES VRJST036ZY0X"},
-            {"Fitness Score", "0.013"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-1.464"},
-            {"Return Over Maximum Drawdown", "-0.992"},
-            {"Portfolio Turnover", "0.04"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "4.07%"},
            {"OrderListHash", "48bfc4d255420cb589e00cf582554e0a"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateFuturesWithExtendedMarketHourlyAlgorithm.cs
@@ -41,7 +41,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 205645;
+        public override long DataPoints => 248521;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
@@ -70,25 +70,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4521.78"},
            {"Estimated Strategy Capacity", "$2000.00"},
            {"Lowest Capacity Asset", "ES VP274HSU1AF5"},
-            {"Fitness Score", "0.131"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-6.211"},
-            {"Return Over Maximum Drawdown", "-0.995"},
-            {"Portfolio Turnover", "0.649"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "56.49%"},
            {"OrderListHash", "2402a307b20aee195b77b8478d7ca64d"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateHourlyAlgorithm.cs
@@ -109,25 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.44"},
            {"Estimated Strategy Capacity", "$110000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.247"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "12.105"},
-            {"Return Over Maximum Drawdown", "112.047"},
-            {"Portfolio Turnover", "0.249"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "19.96%"},
            {"OrderListHash", "f409be3a7c63d9c1394c2e6c005a15ee"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexAlgorithm.cs
@@ -112,7 +112,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public virtual long DataPoints => 16690;
+        public virtual long DataPoints => 16049;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -124,48 +124,30 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "4"},
+            {"Total Trades", "3"},
            {"Average Win", "0%"},
-            {"Average Loss", "-53.10%"},
-            {"Compounding Annual Return", "-92.544%"},
-            {"Drawdown", "10.100%"},
+            {"Average Loss", "-2.45%"},
+            {"Compounding Annual Return", "-62.036%"},
+            {"Drawdown", "9.300%"},
            {"Expectancy", "-1"},
-            {"Net Profit", "-9.915%"},
-            {"Sharpe Ratio", "-3.845"},
-            {"Probabilistic Sharpe Ratio", "0.053%"},
+            {"Net Profit", "-3.051%"},
+            {"Sharpe Ratio", "-4.466"},
+            {"Probabilistic Sharpe Ratio", "0.781%"},
            {"Loss Rate", "100%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.558"},
-            {"Beta", "0.313"},
-            {"Annual Standard Deviation", "0.112"},
-            {"Annual Variance", "0.013"},
-            {"Information Ratio", "-6.652"},
-            {"Tracking Error", "0.125"},
-            {"Treynor Ratio", "-1.379"},
+            {"Alpha", "-0.172"},
+            {"Beta", "0.076"},
+            {"Annual Standard Deviation", "0.029"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-6.723"},
+            {"Tracking Error", "0.099"},
+            {"Treynor Ratio", "-1.733"},
            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$13000000.00"},
+            {"Estimated Strategy Capacity", "$9100000.00"},
            {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
-            {"Fitness Score", "0.039"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-1.763"},
-            {"Return Over Maximum Drawdown", "-9.371"},
-            {"Portfolio Turnover", "0.278"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "3b71b146c15d234b4dc9e201838b551c"}
+            {"Portfolio Turnover", "24.90%"},
+            {"OrderListHash", "905811fc779835bf0c514963a20e40f9"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexDailyAlgorithm.cs
@@ -1,6 +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 QuantConnect.Data;
+using System.Collections.Generic;

 namespace QuantConnect.Algorithm.CSharp
 {
@@ -12,8 +28,8 @@ namespace QuantConnect.Algorithm.CSharp
        protected override Resolution Resolution => Resolution.Daily;
        protected override int StartDay => 1;

-        // two complete weeks starting from the 5th plus the 18th bar
-        protected virtual int ExpectedBarCount => 2 * 5 + 1;
+        // two complete weeks starting from the 5th. The 18th bar is not included since it is a holiday
+        protected virtual int ExpectedBarCount => 2 * 5;
        protected int BarCounter = 0;

        /// <summary>
@@ -59,7 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 122;
+        public override long DataPoints => 0;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -71,48 +87,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "9"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-39.42%"},
-            {"Compounding Annual Return", "394.321%"},
-            {"Drawdown", "0.200%"},
-            {"Expectancy", "-1"},
-            {"Net Profit", "8.219%"},
-            {"Sharpe Ratio", "6.812"},
-            {"Probabilistic Sharpe Ratio", "91.380%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "2.236"},
-            {"Beta", "-1.003"},
-            {"Annual Standard Deviation", "0.317"},
-            {"Annual Variance", "0.101"},
-            {"Information Ratio", "5.805"},
-            {"Tracking Error", "0.359"},
-            {"Treynor Ratio", "-2.153"},
-            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$0"},
-            {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
-            {"Fitness Score", "0.027"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "1776.081"},
-            {"Portfolio Turnover", "0.027"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "0ee6860210d55051c38e494bd24bb6de"}
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexHourlyAlgorithm.cs
@@ -8,7 +8,7 @@ namespace QuantConnect.Algorithm.CSharp
    public class BasicTemplateIndexHourlyAlgorithm : BasicTemplateIndexDailyAlgorithm
    {
        protected override Resolution Resolution => Resolution.Hour;
-        protected override int ExpectedBarCount => base.ExpectedBarCount * 8;
+        protected override int ExpectedBarCount => base.ExpectedBarCount * 7;

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
@@ -23,7 +23,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 408;
+        public override long DataPoints => 391;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -35,48 +35,30 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "70"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.23%"},
-            {"Compounding Annual Return", "-34.441%"},
-            {"Drawdown", "2.000%"},
-            {"Expectancy", "-1"},
-            {"Net Profit", "-2.028%"},
-            {"Sharpe Ratio", "-11.139"},
-            {"Probabilistic Sharpe Ratio", "0.000%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.269"},
-            {"Beta", "0.086"},
-            {"Annual Standard Deviation", "0.023"},
-            {"Annual Variance", "0.001"},
-            {"Information Ratio", "-3.624"},
-            {"Tracking Error", "0.094"},
-            {"Treynor Ratio", "-3.042"},
+            {"Total Trades", "71"},
+            {"Average Win", "1.28%"},
+            {"Average Loss", "-0.06%"},
+            {"Compounding Annual Return", "-20.546%"},
+            {"Drawdown", "1.800%"},
+            {"Expectancy", "-0.402"},
+            {"Net Profit", "-0.922%"},
+            {"Sharpe Ratio", "-2.856"},
+            {"Probabilistic Sharpe Ratio", "22.230%"},
+            {"Loss Rate", "97%"},
+            {"Win Rate", "3%"},
+            {"Profit-Loss Ratio", "19.95"},
+            {"Alpha", "-0.155"},
+            {"Beta", "0.025"},
+            {"Annual Standard Deviation", "0.053"},
+            {"Annual Variance", "0.003"},
+            {"Information Ratio", "-2.07"},
+            {"Tracking Error", "0.121"},
+            {"Treynor Ratio", "-6.089"},
            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$310000.00"},
+            {"Estimated Strategy Capacity", "$200000.00"},
            {"Lowest Capacity Asset", "SPX XL80P3GHDZXQ|SPX 31"},
-            {"Fitness Score", "0.002"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-14.51"},
-            {"Return Over Maximum Drawdown", "-17.213"},
-            {"Portfolio Turnover", "0.299"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "0c74daf716d7782a7e89c7a0ea57856f"}
+            {"Portfolio Turnover", "24.63%"},
+            {"OrderListHash", "9e974939d13fd3255c6291a65d2c1eb9"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexOptionsDailyAlgorithm.cs
@@ -14,10 +14,9 @@
 *
 */

-using System;
-using System.Collections.Generic;
 using System.Linq;
 using QuantConnect.Data;
+using System.Collections.Generic;

 namespace QuantConnect.Algorithm.CSharp
 {
@@ -68,7 +67,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 381;
+        public override long DataPoints => 0;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -80,48 +79,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "9"},
-            {"Average Win", "0%"},
-            {"Average Loss", "-0.01%"},
-            {"Compounding Annual Return", "-0.091%"},
-            {"Drawdown", "0.000%"},
-            {"Expectancy", "-1"},
-            {"Net Profit", "-0.008%"},
-            {"Sharpe Ratio", "-4.033"},
-            {"Probabilistic Sharpe Ratio", "0.013%"},
-            {"Loss Rate", "100%"},
-            {"Win Rate", "0%"},
-            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "-0.001"},
-            {"Beta", "0"},
-            {"Annual Standard Deviation", "0"},
-            {"Annual Variance", "0"},
-            {"Information Ratio", "-0.447"},
-            {"Tracking Error", "0.136"},
-            {"Treynor Ratio", "-4.612"},
-            {"Total Fees", "$0.00"},
-            {"Estimated Strategy Capacity", "$0"},
-            {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-50718.291"},
-            {"Return Over Maximum Drawdown", "-11.386"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "607d309c5fb52a8b88310720b4a867e1"}
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndexOptionsHourlyAlgorithm.cs
@@ -38,7 +38,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public override long DataPoints => 2212;
+        public override long DataPoints => 2143;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -50,48 +50,30 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "70"},
+            {"Total Trades", "72"},
            {"Average Win", "0.00%"},
            {"Average Loss", "0.00%"},
-            {"Compounding Annual Return", "0%"},
+            {"Compounding Annual Return", "-0.006%"},
            {"Drawdown", "0.000%"},
-            {"Expectancy", "0.000"},
-            {"Net Profit", "0%"},
-            {"Sharpe Ratio", "0"},
-            {"Probabilistic Sharpe Ratio", "36.504%"},
+            {"Expectancy", "-0.486"},
+            {"Net Profit", "0.000%"},
+            {"Sharpe Ratio", "-1.628"},
+            {"Probabilistic Sharpe Ratio", "17.439%"},
            {"Loss Rate", "97%"},
            {"Win Rate", "3%"},
-            {"Profit-Loss Ratio", "34.00"},
-            {"Alpha", "0"},
+            {"Profit-Loss Ratio", "17.50"},
+            {"Alpha", "-0"},
            {"Beta", "-0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "-0.449"},
            {"Tracking Error", "0.138"},
-            {"Treynor Ratio", "-0"},
+            {"Treynor Ratio", "1.87"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "SPX XL80P59H5E6M|SPX 31"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "cc19277c90eb3b1f1e09ee15dfa7029b"}
+            {"Portfolio Turnover", "0.00%"},
+            {"OrderListHash", "0df3713aeb32e9c0738200f2a109e2f9"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndiaAlgorithm.cs
@@ -119,25 +119,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "₹6.00"},
            {"Estimated Strategy Capacity", "₹61000000000.00"},
            {"Lowest Capacity Asset", "YESBANK UL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-0.247"},
-            {"Return Over Maximum Drawdown", "-1.104"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "₹0"},
-            {"Total Accumulated Estimated Alpha Value", "₹0"},
-            {"Mean Population Estimated Insight Value", "₹0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.00%"},
            {"OrderListHash", "6cc69218edd7bd461678b9ee0c575db5"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateIndiaIndexAlgorithm.cs
@@ -143,25 +143,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "₹36.00"},
            {"Estimated Strategy Capacity", "₹74000.00"},
            {"Lowest Capacity Asset", "JUNIORBEES UL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-29.6"},
-            {"Return Over Maximum Drawdown", "-123.624"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "₹0"},
-            {"Total Accumulated Estimated Alpha Value", "₹0"},
-            {"Mean Population Estimated Insight Value", "₹0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.04%"},
            {"OrderListHash", "4637f26543287548b28a3c296db055d3"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionEquityStrategyAlgorithm.cs
@@ -102,7 +102,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 884208;
+        public long DataPoints => 475788;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -133,29 +133,11 @@ namespace QuantConnect.Algorithm.CSharp
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
-            {"Total Fees", "$10.00"},
+            {"Total Fees", "$75.00"},
            {"Estimated Strategy Capacity", "$84000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "0673d23c27fa8dd01da0aace0e866cc3"}
+            {"Portfolio Turnover", "61.34%"},
+            {"OrderListHash", "cee5cc2b0f80c308b496cac0b8668163"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionStrategyAlgorithm.cs
@@ -112,7 +112,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 884616;
+        public long DataPoints => 476196;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -124,7 +124,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Total Trades", "778"},
+            {"Total Trades", "418"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
@@ -143,29 +143,11 @@ namespace QuantConnect.Algorithm.CSharp
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
-            {"Total Fees", "$778.00"},
-            {"Estimated Strategy Capacity", "$1000.00"},
+            {"Total Fees", "$418.00"},
+            {"Estimated Strategy Capacity", "$3000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZFMEBBB2E|GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "6a88f302b7f29a2c59e4b1e978161da1"}
+            {"Portfolio Turnover", "338.56%"},
+            {"OrderListHash", "e0289a2989c91934656ff7e578f5e810"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsAlgorithm.cs
@@ -109,7 +109,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 884197;
+        public long DataPoints => 475777;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -143,26 +143,8 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$1300000.00"},
            {"Lowest Capacity Asset", "GOOCV 30AKMEIPOSS1Y|GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
-            {"OrderListHash", "9d9f9248ee8fe30d87ff0a6f6fea5112"}
+            {"Portfolio Turnover", "10.71%"},
+            {"OrderListHash", "838e313ba57850227ec810ed8fb85a23"}
        };
    }
 }
--- a/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsDailyAlgorithm.cs
@@ -156,25 +156,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1.00"},
            {"Estimated Strategy Capacity", "$18000.00"},
            {"Lowest Capacity Asset", "GOOCV W78ZFMML01JA|GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-1.496"},
-            {"Return Over Maximum Drawdown", "-11.673"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.05%"},
            {"OrderListHash", "0b52bbe98ade8e3aab943e64fcf4abfe"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsFilterUniverseAlgorithm.cs
@@ -100,7 +100,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 1722373;
+        public long DataPoints => 1322413;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -134,25 +134,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "GOOCV VP83T1ZUHROL"},
-            {"Fitness Score", "0.188"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-73.268"},
-            {"Portfolio Turnover", "0.376"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "15.08%"},
            {"OrderListHash", "0f8537495f5744c02191656d6b3f9205"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsFrameworkAlgorithm.cs
@@ -173,25 +173,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.168"},
-            {"Kelly Criterion Estimate", "0.327"},
-            {"Kelly Criterion Probability Value", "1"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "0"},
-            {"Portfolio Turnover", "0.224"},
-            {"Total Insights Generated", "28"},
-            {"Total Insights Closed", "24"},
-            {"Total Insights Analysis Completed", "24"},
-            {"Long Insight Count", "28"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$13.64796"},
-            {"Total Accumulated Estimated Alpha Value", "$1.89555"},
-            {"Mean Population Estimated Insight Value", "$0.07898125"},
-            {"Mean Population Direction", "50%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "50.0482%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "13.46%"},
            {"OrderListHash", "83c9fb13ee32284702779eff8d11c608"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateOptionsHourlyAlgorithm.cs
@@ -143,25 +143,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.00"},
            {"Estimated Strategy Capacity", "$1000.00"},
            {"Lowest Capacity Asset", "AAPL 2ZTXYMUAHCIAU|AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.04"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-118.28"},
-            {"Portfolio Turnover", "0.081"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "2.28%"},
            {"OrderListHash", "81e8a822d43de2165c1d3f52964ec312"}
        };
    }
--- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsAlgorithm.cs
@@ -0,0 +1,146 @@
+/*
+ * 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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add and trade SPX index weekly options
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="indexes" />
+    public class BasicTemplateSPXWeeklyIndexOptionsAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spxOption;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 4);
+            SetEndDate(2021, 1, 10);
+            SetCash(1000000);
+
+            var spx = AddIndex("SPX").Symbol;
+
+            // regular option SPX contracts
+            var spxOptions = AddIndexOption(spx);
+            spxOptions.SetFilter(u => u.Strikes(0, 1).Expiration(0, 30));
+
+            // weekly option SPX contracts
+            var spxw = AddIndexOption(spx, "SPXW");
+            spxw.SetFilter(u => u.Strikes(0, 1)
+                 // single week ahead since there are many SPXW contracts and we want to preserve performance
+                 .Expiration(0, 7)
+                 .IncludeWeeklys());
+
+            _spxOption = spxw.Symbol;
+        }
+
+        /// <summary>
+        /// Index EMA Cross trading underlying.
+        /// </summary>
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.Invested)
+            {
+                return;
+            }
+
+            OptionChain chain;
+            if (slice.OptionChains.TryGetValue(_spxOption, out chain))
+            {
+                // we find at the money (ATM) put contract with closest expiration
+                var atmContract = chain
+                    .OrderBy(x => x.Expiry)
+                    .ThenBy(x => Math.Abs(chain.Underlying.Price - x.Strike))
+                    .ThenByDescending(x => x.Right)
+                    .FirstOrDefault();
+
+                if (atmContract != null)
+                {
+                    // if found, buy until it expires
+                    MarketOrder(atmContract.Symbol, 1);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(orderEvent.ToString());
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 65536;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "5"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.69%"},
+            {"Compounding Annual Return", "58.005%"},
+            {"Drawdown", "0.400%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "0.588%"},
+            {"Sharpe Ratio", "1.448"},
+            {"Probabilistic Sharpe Ratio", "51.980%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.288"},
+            {"Beta", "-0.04"},
+            {"Annual Standard Deviation", "0.004"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-98.963"},
+            {"Tracking Error", "0.072"},
+            {"Treynor Ratio", "-0.149"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$8400000.00"},
+            {"Lowest Capacity Asset", "SPXW 31K54PVWHUJHQ|SPX 31"},
+            {"Portfolio Turnover", "0.48%"},
+            {"OrderListHash", "174bd0a99916d58ca3f12139306940db"}
+        };
+    }
+}
--- a/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs
+++ b/Algorithm.CSharp/BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm.cs
@@ -0,0 +1,150 @@
+/*
+ * 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.Linq;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Securities.Option;
+using System;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add and trade SPX index weekly option strategy
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="options" />
+    /// <meta name="tag" content="indexes" />
+    public class BasicTemplateSPXWeeklyIndexOptionsStrategyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spxOption;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 4);
+            SetEndDate(2021, 1, 10);
+            SetCash(1000000);
+
+            var spx = AddIndex("SPX").Symbol;
+
+            // weekly option SPX contracts
+            var spxw = AddIndexOption(spx, "SPXW");
+            spxw.SetFilter(u => u.Strikes(0, 1)
+                 // single week ahead since there are many SPXW contracts and we want to preserve performance
+                 .Expiration(0, 7)
+                 .IncludeWeeklys());
+
+            _spxOption = spxw.Symbol;
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (Portfolio.Invested)
+            {
+                return;
+            }
+
+            OptionChain chain;
+            if (slice.OptionChains.TryGetValue(_spxOption, out chain))
+            {
+                // we find the first expiration group of call options and order them in ascending strike 
+                var contracts = chain
+                    .Where(x => x.Right == OptionRight.Call)
+                    .OrderBy(x => x.Expiry)
+                    .GroupBy(x => x.Expiry)
+                    .First()
+                    .OrderBy(x => x.Strike)
+                    .ToList();
+
+                if (contracts.Count > 1)
+                {
+                    var smallerStrike = contracts[0];
+                    var higherStrike = contracts[1];
+
+                    // if found, buy until it expires
+                    var optionStrategy = OptionStrategies.BearCallSpread(_spxOption, smallerStrike.Strike, higherStrike.Strike, smallerStrike.Expiry);
+                    Buy(optionStrategy, 1);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug(orderEvent.ToString());
+            if (orderEvent.Symbol.ID.Symbol != "SPXW")
+            {
+                throw new Exception("Unexpected order event symbol!");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 35451;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "4"},
+            {"Average Win", "0.12%"},
+            {"Average Loss", "0.00%"},
+            {"Compounding Annual Return", "8.975%"},
+            {"Drawdown", "0.100%"},
+            {"Expectancy", "62.078"},
+            {"Net Profit", "0.110%"},
+            {"Sharpe Ratio", "-7.925"},
+            {"Probabilistic Sharpe Ratio", "1.216%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "125.16"},
+            {"Alpha", "-0.012"},
+            {"Beta", "0.001"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-103.223"},
+            {"Tracking Error", "0.069"},
+            {"Treynor Ratio", "-2.449"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Lowest Capacity Asset", "SPXW XKX6S2GM9PGU|SPX 31"},
+            {"Portfolio Turnover", "0.03%"},
+            {"OrderListHash", "38db27781e4df93687d0895df9796c7d"}
+        };
+    }
+}
--- a/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BinanceCashAccountFeeRegressionAlgorithm.cs
@@ -75,25 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "₮45.62"},
            {"Estimated Strategy Capacity", "₮220000.00"},
            {"Lowest Capacity Asset", "BTCUSDT 18N"},
-            {"Fitness Score", "0.208"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "26.189"},
-            {"Portfolio Turnover", "0.208"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "₮0"},
-            {"Total Accumulated Estimated Alpha Value", "₮0"},
-            {"Mean Population Estimated Insight Value", "₮0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "22.80%"},
            {"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
        };
    }
--- a/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BinanceMarginAccountFeeRegressionAlgorithm.cs
@@ -75,25 +75,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "₮45.62"},
            {"Estimated Strategy Capacity", "₮12000000.00"},
            {"Lowest Capacity Asset", "BTCUSDT 18N"},
-            {"Fitness Score", "0.208"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "26.189"},
-            {"Portfolio Turnover", "0.208"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "₮0"},
-            {"Total Accumulated Estimated Alpha Value", "₮0"},
-            {"Mean Population Estimated Insight Value", "₮0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "22.80%"},
            {"OrderListHash", "7417649395922ff3791471b4f3b5c021"}
        };
    }
--- a/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BitfinexCashAccountFeeRegressionAlgorithm.cs
@@ -74,25 +74,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1.13"},
            {"Estimated Strategy Capacity", "$2000.00"},
            {"Lowest Capacity Asset", "BTCUSD E3"},
-            {"Fitness Score", "0.002"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.002"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.28%"},
            {"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
        };
    }
--- a/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/BitfinexMarginAccountFeeRegressionAlgorithm.cs
@@ -74,25 +74,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$1.13"},
            {"Estimated Strategy Capacity", "$640000.00"},
            {"Lowest Capacity Asset", "BTCUSD E3"},
-            {"Fitness Score", "0.002"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.002"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.28%"},
            {"OrderListHash", "7f892f0c42d8826ff770ee602fe207a2"}
        };
    }
--- a/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/BlackLittermanPortfolioOptimizationFrameworkAlgorithm.cs
@@ -110,25 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$46.20"},
            {"Estimated Strategy Capacity", "$2300000.00"},
            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Fitness Score", "0.645"},
-            {"Kelly Criterion Estimate", "13.787"},
-            {"Kelly Criterion Probability Value", "0.231"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "65.642"},
-            {"Portfolio Turnover", "0.645"},
-            {"Total Insights Generated", "13"},
-            {"Total Insights Closed", "10"},
-            {"Total Insights Analysis Completed", "10"},
-            {"Long Insight Count", "6"},
-            {"Short Insight Count", "7"},
-            {"Long/Short Ratio", "85.71%"},
-            {"Estimated Monthly Alpha Value", "$52003.0716"},
-            {"Total Accumulated Estimated Alpha Value", "$8956.0846"},
-            {"Mean Population Estimated Insight Value", "$895.6085"},
-            {"Mean Population Direction", "70%"},
-            {"Mean Population Magnitude", "70%"},
-            {"Rolling Averaged Population Direction", "94.5154%"},
-            {"Rolling Averaged Population Magnitude", "94.5154%"},
+            {"Portfolio Turnover", "64.52%"},
            {"OrderListHash", "0945ff7a39bb8f8a07b3dcc817c070aa"}
        };
    }
--- a/Algorithm.CSharp/CallingRFromCSharp.cs
+++ b/Algorithm.CSharp/CallingRFromCSharp.cs
@@ -1,70 +0,0 @@
-/*
-  * 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 QuantConnect.Data;
- using RDotNet;
- using System.Linq;
-
- namespace QuantConnect.Algorithm.CSharp
- {
-    /// <summary>
-    /// Demonstration of the R-integration for calling external statistics operations in QuantConnect.
-    /// </summary>
-    /// <meta name="tag" content="using r" />
-    /// <meta name="tag" content="statistics libraries" />
-    public class CallingRFromCSharp : QCAlgorithm
-     {
-         private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
-
-         /// <summary>
-         /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
-         /// </summary>
-         public override void Initialize()
-         {
-             SetStartDate(2013, 10, 07);  //Set Start Date
-             SetEndDate(2013, 10, 11);    //Set End Date
-             SetCash(100000);             //Set Strategy Cash
-             // Find more symbols here: http://quantconnect.com/data
-             AddEquity("SPY", Resolution.Second);
-
-             var engine = REngine.GetInstance();
-             engine.Evaluate("print('This is from R command.')");
-             // .NET Framework array to R vector.
-             var group1 = engine.CreateNumericVector(new double[] { 30.02, 29.99, 30.11, 29.97, 30.01, 29.99 });
-             engine.SetSymbol("group1", group1);
-             // Direct parsing from R script.
-             var group2 = engine.Evaluate("group2 <- c(29.89, 29.93, 29.72, 29.98, 30.02, 29.98)").AsNumeric();
-             // Test difference of mean and get the P-value.
-             var testResult = engine.Evaluate("t.test(group1, group2)").AsList();
-             var p = testResult["p.value"].AsNumeric().First();
-             // you should always dispose of the REngine properly.
-             // After disposing of the engine, you cannot reinitialize nor reuse it
-             engine.Dispose();
-
-         }
-
-         /// <summary>
-         /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
-         /// </summary>
-         /// <param name="data">Slice object keyed by symbol containing the stock data</param>
-         public override void OnData(Slice data)
-         {
-             if (!Portfolio.Invested)
-             {
-                 SetHoldings(_spy, 1);
-             }
-         }
-     }
- }
--- a/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/CancelOpenOrdersRegressionAlgorithm.cs
@@ -159,25 +159,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$370000.00"},
            {"Lowest Capacity Asset", "ETHUSD XJ"},
-            {"Fitness Score", "0.501"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-30.158"},
-            {"Portfolio Turnover", "1.033"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "104.59%"},
            {"OrderListHash", "aea2e321d17414c1f3c6fa2491f10c88"}
        };
    }
--- a/Algorithm.CSharp/CfdTimeZonesRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/CfdTimeZonesRegressionAlgorithm.cs
@@ -107,25 +107,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "€0.00"},
            {"Estimated Strategy Capacity", "€670000.00"},
            {"Lowest Capacity Asset", "DE30EUR 8I"},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "-101.587"},
-            {"Return Over Maximum Drawdown", "-110.633"},
-            {"Portfolio Turnover", "9.513"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "€0"},
-            {"Total Accumulated Estimated Alpha Value", "€0"},
-            {"Mean Population Estimated Insight Value", "€0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "1062.25%"},
            {"OrderListHash", "64c098abe3c1e7206424b0c3825b0069"}
        };
    }
--- a/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs
+++ b/Algorithm.CSharp/ClassicRenkoConsolidatorAlgorithm.cs
@@ -148,25 +148,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$129.35"},
            {"Estimated Strategy Capacity", "$1000000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.062"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "1.023"},
-            {"Return Over Maximum Drawdown", "1.142"},
-            {"Portfolio Turnover", "0.094"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "7.91%"},
            {"OrderListHash", "b2286d2421294408c3a390e614f40ef9"}
        };
    }
--- a/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/CoarseFineFundamentalRegressionAlgorithm.cs
@@ -193,25 +193,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$2.00"},
            {"Estimated Strategy Capacity", "$49000000.00"},
            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
-            {"Fitness Score", "0.076"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "27.328"},
-            {"Return Over Maximum Drawdown", "24.002"},
-            {"Portfolio Turnover", "0.076"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "6.64%"},
            {"OrderListHash", "159887a90516df8ba8e8d35b9c30b227"}
        };
    }
--- a/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/CoarseFineOptionUniverseChainRegressionAlgorithm.cs
@@ -154,25 +154,6 @@ namespace QuantConnect.Algorithm.CSharp
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
-            {"Fitness Score", "0.12"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0.12"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
            {"OrderListHash", "2a6319d0d474f976e653dd1ebc42caac"}
        };
    }
--- a/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs
+++ b/Algorithm.CSharp/CoarseFundamentalTop3Algorithm.cs
@@ -148,25 +148,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$27.94"},
            {"Estimated Strategy Capacity", "$200000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.28"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "3"},
-            {"Return Over Maximum Drawdown", "9.559"},
-            {"Portfolio Turnover", "0.308"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "26.69%"},
            {"OrderListHash", "de456413f89396bd6f920686219ed0a5"}
        };
    }
--- a/Algorithm.CSharp/CoarseNoLookAheadBiasAlgorithm.cs
+++ b/Algorithm.CSharp/CoarseNoLookAheadBiasAlgorithm.cs
@@ -126,25 +126,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$0"},
            {"Lowest Capacity Asset", ""},
-            {"Fitness Score", "0"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "79228162514264337593543950335"},
-            {"Portfolio Turnover", "0"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0%"},
            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
        };
    }
--- a/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/CoarseSelectionTimeRegressionAlgorithm.cs
@@ -132,25 +132,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$3.08"},
            {"Estimated Strategy Capacity", "$720000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.141"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "10.385"},
-            {"Return Over Maximum Drawdown", "58.709"},
-            {"Portfolio Turnover", "0.143"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "12.54%"},
            {"OrderListHash", "50145c3c1d58b09f38ec1b77cfe69eae"}
        };
    }
--- a/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs
+++ b/Algorithm.CSharp/ComboLegLimitOrderAlgorithm.cs
@@ -0,0 +1,94 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test combo leg limit orders
+    /// </summary>
+    public class ComboLegLimitOrderAlgorithm : ComboOrderAlgorithm
+    {
+        protected override IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null)
+        {
+            return ComboLegLimitOrder(legs, quantity);
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            base.OnEndOfAlgorithm();
+
+            if (FillOrderEvents.Zip(OrderLegs).Any(x => x.Second.OrderPrice < x.First.FillPrice))
+            {
+                throw new Exception($"Limit price expected to be greater that the fill price for each order. Limit prices: {string.Join(",", OrderLegs.Select(x => x.OrderPrice))} Fill prices: {string.Join(",", FillOrderEvents.Select(x => x.FillPrice))}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public override bool CanRunLocally => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 475788;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$75.00"},
+            {"Estimated Strategy Capacity", "$8000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "698.54%"},
+            {"OrderListHash", "2b64aec759a089d23ccf9722d6b87ccd"}
+        };
+    }
+}
--- a/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs
+++ b/Algorithm.CSharp/ComboLimitOrderAlgorithm.cs
@@ -0,0 +1,161 @@
+/*
+ * 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 QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test combo limit orders
+    /// </summary>
+    public class ComboLimitOrderAlgorithm : ComboOrderAlgorithm
+    {
+        private decimal _limitPrice;
+        private int _comboQuantity;
+
+        private int _fillCount;
+
+        private decimal _liquidatedQuantity;
+
+        private bool _liquidated;
+
+        protected override int ExpectedFillCount
+        {
+            get
+            {
+                // times 2 because of liquidation
+                return OrderLegs.Count * 2;
+            }
+        }
+
+        protected override IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice)
+        {
+            _limitPrice = limitPrice.Value;
+            _comboQuantity = quantity;
+
+            legs.ForEach(x => { x.OrderPrice = null; });
+
+            return ComboLimitOrder(legs, quantity, _limitPrice);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            base.OnOrderEvent(orderEvent);
+
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                _fillCount++;
+                if (_fillCount == OrderLegs.Count)
+                {
+                    Liquidate();
+                }
+                else if (_fillCount < 2 * OrderLegs.Count)
+                {
+                    _liquidatedQuantity += orderEvent.FillQuantity;
+                }
+                else if (_fillCount == 2 * OrderLegs.Count)
+                {
+                    _liquidated = true;
+                    var totalComboQuantity = _comboQuantity * OrderLegs.Select(x => x.Quantity).Sum();
+
+                    if (_liquidatedQuantity != totalComboQuantity)
+                    {
+                        throw new Exception($"Liquidated quantity {_liquidatedQuantity} does not match combo quantity {totalComboQuantity}");
+                    }
+
+                    if (Portfolio.TotalHoldingsValue != 0)
+                    {
+                        throw new Exception($"Portfolio value {Portfolio.TotalPortfolioValue} is not zero");
+                    }
+                }
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            base.OnEndOfAlgorithm();
+
+            if (_limitPrice == null)
+            {
+                throw new Exception("Limit price was not set");
+            }
+
+            var fillPricesSum = FillOrderEvents.Take(OrderLegs.Count).Select(x => x.FillPrice * x.FillQuantity / _comboQuantity).Sum();
+            if (_limitPrice < fillPricesSum)
+            {
+                throw new Exception($"Limit price expected to be greater that the sum of the fill prices ({fillPricesSum}), but was {_limitPrice}");
+            }
+
+            if (!_liquidated)
+            {
+                throw new Exception("Combo order was not liquidated");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public override bool CanRunLocally => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 475788;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "6"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$85.00"},
+            {"Estimated Strategy Capacity", "$5000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "1893.90%"},
+            {"OrderListHash", "186986b27fac082600a064a8a59df604"}
+        };
+    }
+}
--- a/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs
+++ b/Algorithm.CSharp/ComboMarketOrderAlgorithm.cs
@@ -0,0 +1,83 @@
+/*
+ * 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 QuantConnect.Orders;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test combo market orders
+    /// </summary>
+    public class ComboMarketOrderAlgorithm : ComboOrderAlgorithm
+    {
+        protected override IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null)
+        {
+            legs.ForEach(x => { x.OrderPrice = null; });
+            return ComboMarketOrder(legs, quantity);
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public override bool CanRunLocally => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override Language[] Languages { get; } = { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 475788;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "3"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$75.00"},
+            {"Estimated Strategy Capacity", "$9000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "753.60%"},
+            {"OrderListHash", "cf49ecb1e9787688df1d9920a75b83b7"}
+        };
+    }
+}
--- a/Algorithm.CSharp/ComboOrderAlgorithm.cs
+++ b/Algorithm.CSharp/ComboOrderAlgorithm.cs
@@ -0,0 +1,141 @@
+/*
+ * 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.Linq;
+using System.Collections.Generic;
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that combo orders are filled correctly and at the same time
+    /// </summary>
+    public abstract class ComboOrderAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        protected List<OrderEvent> FillOrderEvents { get; private set; } = new();
+
+        protected List<Leg> OrderLegs { get; private set; }
+
+        protected int ComboOrderQuantity { get; } = 10;
+
+        protected virtual int ExpectedFillCount
+        {
+            get
+            {
+                return OrderLegs.Count;
+            }
+        }
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(10000);
+
+            var equity = AddEquity("GOOG", leverage: 4, fillDataForward: true);
+            var option = AddOption(equity.Symbol, fillDataForward: true);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.Strikes(-2, +2)
+                  .Expiration(0, 180));
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (OrderLegs == null)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && slice.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
+                        .GroupBy(x => x.Expiry)
+                        .OrderBy(grouping => grouping.Key)
+                        .First()
+                        .OrderBy(x => x.Strike)
+                        .ToList();
+
+                    // Let's wait until we have at least three contracts
+                    if (callContracts.Count < 3)
+                    {
+                        return;
+                    }
+
+                    OrderLegs = new List<Leg>()
+                    {
+                        Leg.Create(callContracts[0].Symbol, 1, 16.7m),
+                        Leg.Create(callContracts[1].Symbol, -2, 14.6m),
+                        Leg.Create(callContracts[2].Symbol, 1, 14.0m)
+                    };
+                    PlaceComboOrder(OrderLegs, ComboOrderQuantity, 1.9m);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($" Order Event: {orderEvent}");
+
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                FillOrderEvents.Add(orderEvent);
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (OrderLegs == null)
+            {
+                throw new Exception("Combo order legs were not initialized");
+            }
+
+            if (FillOrderEvents.Count != ExpectedFillCount)
+            {
+                throw new Exception($"Expected {ExpectedFillCount} fill order events, found {FillOrderEvents.Count}");
+            }
+
+            var fillTimes = FillOrderEvents.Select(x => x.UtcTime).ToHashSet();
+            if (fillTimes.Count != 1)
+            {
+                throw new Exception($"Expected all fill order events to have the same time, found {string.Join(", ", fillTimes)}");
+            }
+
+            if (FillOrderEvents.Zip(OrderLegs).Any(x => x.First.FillQuantity != x.Second.Quantity * ComboOrderQuantity))
+            {
+                throw new Exception("Fill quantity does not match expected quantity for at least one order leg." +
+                    $"Expected: {string.Join(", ", OrderLegs.Select(x => x.Quantity * ComboOrderQuantity))}. " +
+                    $"Actual: {string.Join(", ", FillOrderEvents.Select(x => x.FillQuantity))}");
+            }
+        }
+
+        protected abstract IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null);
+
+        public abstract bool CanRunLocally { get; }
+
+        public abstract Language[] Languages { get; }
+
+        public abstract long DataPoints { get; }
+
+        public abstract int AlgorithmHistoryDataPoints { get; }
+
+        public abstract Dictionary<string, string> ExpectedStatistics { get; }
+    }
+}
--- a/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs
+++ b/Algorithm.CSharp/ComboOrderTicketDemoAlgorithm.cs
@@ -0,0 +1,372 @@
+
+/*
+ * 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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using System.Linq;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm for testing submit/update/cancel for combo orders
+    /// </summary>
+    public class ComboOrderTicketDemoAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private readonly List<OrderTicket> _openMarketOrders = new();
+        private readonly List<OrderTicket> _openLegLimitOrders = new();
+        private readonly List<OrderTicket> _openLimitOrders = new();
+
+        private Symbol _optionSymbol;
+        private List<Leg> _orderLegs;
+
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 24);
+            SetCash(100000);
+
+            var equity = AddEquity("GOOG", leverage: 4, fillDataForward: true);
+            var option = AddOption(equity.Symbol, fillDataForward: true);
+            _optionSymbol = option.Symbol;
+
+            option.SetFilter(u => u.Strikes(-2, +2)
+                  .Expiration(0, 180));
+        }
+
+        public override void OnData(Slice data)
+        {
+            if (_orderLegs == null)
+            {
+                OptionChain chain;
+                if (IsMarketOpen(_optionSymbol) && data.OptionChains.TryGetValue(_optionSymbol, out chain))
+                {
+                    var callContracts = chain.Where(contract => contract.Right == OptionRight.Call)
+                        .GroupBy(x => x.Expiry)
+                        .OrderBy(grouping => grouping.Key)
+                        .First()
+                        .OrderBy(x => x.Strike)
+                        .ToList();
+
+                    // Let's wait until we have at least three contracts
+                    if (callContracts.Count < 3)
+                    {
+                        return;
+                    }
+
+                    _orderLegs = new List<Leg>()
+                    {
+                        Leg.Create(callContracts[0].Symbol, 1),
+                        Leg.Create(callContracts[1].Symbol, -2),
+                        Leg.Create(callContracts[2].Symbol, 1),
+                    };
+                }
+            }
+            else
+            {
+                // COMBO MARKET ORDERS
+
+                ComboMarketOrders();
+
+                // COMBO LIMIT ORDERS
+
+                ComboLimitOrders();
+
+                // COMBO LEG LIMIT ORDERS
+
+                ComboLegLimitOrders();
+            }
+        }
+
+        private void ComboMarketOrders()
+        {
+            if (_openMarketOrders.Count != 0 || _orderLegs == null)
+            {
+                return;
+            }
+
+            Log("Submitting combo market orders");
+
+            var tickets = ComboMarketOrder(_orderLegs, 2, asynchronous: false);
+            _openMarketOrders.AddRange(tickets);
+
+            tickets = ComboMarketOrder(_orderLegs, 2, asynchronous: true);
+            _openMarketOrders.AddRange(tickets);
+
+            foreach (var ticket in tickets)
+            {
+                var response = ticket.Cancel("Attempt to cancel combo market order");
+                if (response.IsSuccess)
+                {
+                    throw new Exception("Combo market orders should fill instantly, they should not be cancelable in backtest mode: " + response.OrderId);
+                }
+            }
+        }
+
+        private void ComboLimitOrders()
+        {
+            if (_openLimitOrders.Count == 0)
+            {
+                Log("Submitting ComboLimitOrder");
+
+                var currentPrice = _orderLegs.Sum(leg => leg.Quantity * Securities[leg.Symbol].Close);
+
+                var tickets = ComboLimitOrder(_orderLegs, 2, currentPrice + 1.5m);
+                _openLimitOrders.AddRange(tickets);
+
+                // These won't fill, we will test cancel with this
+                tickets = ComboLimitOrder(_orderLegs, -2, currentPrice + 3m);
+                _openLimitOrders.AddRange(tickets);
+            }
+            else
+            {
+                var combo1 = _openLimitOrders.Take(_orderLegs.Count).ToList();
+                var combo2 = _openLimitOrders.Skip(_orderLegs.Count).Take(_orderLegs.Count).ToList();
+
+                // check if either is filled and cancel the other
+                if (CheckGroupOrdersForFills(combo1, combo2))
+                {
+                    return;
+                }
+
+                // if neither order has filled, bring in the limits by a penny
+
+                var ticket = combo1[0];
+                var newLimit = Math.Round(ticket.Get(OrderField.LimitPrice) + 0.01m, 2);
+                Debug($"Updating limits - Combo 1 {ticket.OrderId}: {newLimit.ToStringInvariant("0.00")}");
+                ticket.Update(new UpdateOrderFields
+                {
+                    LimitPrice = newLimit,
+                    Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
+                });
+
+                ticket = combo2[0];
+                newLimit = Math.Round(ticket.Get(OrderField.LimitPrice) - 0.01m, 2);
+                Debug($"Updating limits - Combo 2 {ticket.OrderId}: {newLimit.ToStringInvariant("0.00")}");
+                ticket.Update(new UpdateOrderFields
+                {
+                    LimitPrice = newLimit,
+                    Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
+                });
+            }
+        }
+
+        private void ComboLegLimitOrders()
+        {
+            if (_openLegLimitOrders.Count == 0)
+            {
+                Log("Submitting ComboLegLimitOrder");
+
+                // submit a limit order to buy 2 shares at .1% below the bar's close
+                foreach (var leg in _orderLegs)
+                {
+                    var close = Securities[leg.Symbol].Close;
+                    leg.OrderPrice = close * .999m;
+                }
+
+                var tickets = ComboLegLimitOrder(_orderLegs, quantity: 2);
+                _openLegLimitOrders.AddRange(tickets);
+
+                // submit another limit order to sell 2 shares at .1% above the bar's close
+                foreach (var leg in _orderLegs)
+                {
+                    var close = Securities[leg.Symbol].Close;
+                    leg.OrderPrice = close * 1.001m;
+                }
+
+                tickets = ComboLegLimitOrder(_orderLegs, -2);
+                _openLegLimitOrders.AddRange(tickets);
+            }
+            else
+            {
+                var combo1 = _openLegLimitOrders.Take(_orderLegs.Count).ToList();
+                var combo2 = _openLegLimitOrders.Skip(_orderLegs.Count).Take(_orderLegs.Count).ToList();
+
+                // check if either is filled and cancel the other
+                if (CheckGroupOrdersForFills(combo1, combo2))
+                {
+                    return;
+                }
+
+                // if neither order has filled, bring in the limits by a penny
+
+                foreach (var ticket in combo1)
+                {
+                    var newLimit = ticket.Get(OrderField.LimitPrice) + (ticket.Quantity > 0 ? 1m : -1m) * 0.01m;
+                    Debug($"Updating limits - Combo #1: {newLimit.ToStringInvariant("0.00")}");
+
+                    ticket.Update(new UpdateOrderFields
+                    {
+                        LimitPrice = newLimit,
+                        Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
+                    });
+                }
+
+                foreach (var ticket in combo2)
+                {
+                    var newLimit = ticket.Get(OrderField.LimitPrice) + (ticket.Quantity > 0 ? 1m : -1m) * 0.01m;
+                    Debug($"Updating limits - Combo #2: {newLimit.ToStringInvariant("0.00")}");
+
+                    ticket.Update(new UpdateOrderFields
+                    {
+                        LimitPrice = newLimit,
+                        Tag = "Update #" + (ticket.UpdateRequests.Count + 1)
+                    });
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            var order = Transactions.GetOrderById(orderEvent.OrderId);
+
+            if (orderEvent.Quantity == 0)
+            {
+                throw new Exception("OrderEvent quantity is Not expected to be 0, it should hold the current order Quantity");
+            }
+            if (orderEvent.Quantity != order.Quantity)
+            {
+                throw new Exception($@"OrderEvent quantity should hold the current order Quantity. Got {orderEvent.Quantity
+                    }, expected {order.Quantity}");
+            }
+            if (order is ComboLegLimitOrder && orderEvent.LimitPrice == 0)
+            {
+                throw new Exception("OrderEvent.LimitPrice is not expected to be 0 for ComboLegLimitOrder");
+            }
+        }
+
+        private bool CheckGroupOrdersForFills(List<OrderTicket> combo1, List<OrderTicket> combo2)
+        {
+            if (combo1.All(x => x.Status == OrderStatus.Filled))
+            {
+                if (combo2.Any(x => x.Status.IsOpen()))
+                {
+                    Log(combo1[0].OrderType + ": Canceling combo #2, combo #1 is filled.");
+                    combo2.ForEach(x => x.Cancel("Combo #1 filled."));
+                }
+
+                return true;
+            }
+
+            if (combo2.All(x => x.Status == OrderStatus.Filled))
+            {
+                if (combo1.Any(x => x.Status.IsOpen()))
+                {
+                    Log(combo1[0].OrderType + ": Canceling combo #1, combo #2 is filled.");
+                    combo1.ForEach(x => x.Cancel("Combo #2 filled."));
+                }
+
+                return true;
+            }
+
+            return false;
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            var filledOrders = Transactions.GetOrders(x => x.Status == OrderStatus.Filled).ToList();
+            var orderTickets = Transactions.GetOrderTickets().ToList();
+            var openOrders = Transactions.GetOpenOrders();
+            var openOrderTickets = Transactions.GetOpenOrderTickets().ToList();
+            var remainingOpenOrders = Transactions.GetOpenOrdersRemainingQuantity();
+
+            // 6 market, 6 limit, 6 leg limit.
+            // Out of the 6 limit orders, 3 are expected to be canceled.
+            var expectedOrdersCount = 18;
+            var expectedFillsCount = 15;
+            if (filledOrders.Count != expectedFillsCount || orderTickets.Count != expectedOrdersCount)
+            {
+                throw new Exception($"There were expected {expectedFillsCount} filled orders and {expectedOrdersCount} order tickets, but there were {filledOrders.Count} filled orders and {orderTickets.Count} order tickets");
+            }
+
+            var filledComboMarketOrders = filledOrders.Where(x => x.Type == OrderType.ComboMarket).ToList();
+            var filledComboLimitOrders = filledOrders.Where(x => x.Type == OrderType.ComboLimit).ToList();
+            var filledComboLegLimitOrders = filledOrders.Where(x => x.Type == OrderType.ComboLegLimit).ToList();
+            if (filledComboMarketOrders.Count != 6 || filledComboLimitOrders.Count != 3 || filledComboLegLimitOrders.Count != 6)
+            {
+                throw new Exception(
+                    "There were expected 6 filled market orders, 3 filled combo limit orders and 6 filled combo leg limit orders, " +
+                    $@"but there were {filledComboMarketOrders.Count} filled market orders, {filledComboLimitOrders.Count
+                    } filled combo limit orders and {filledComboLegLimitOrders.Count} filled combo leg limit orders");
+            }
+
+            if (openOrders.Count != 0 || openOrderTickets.Count != 0)
+            {
+                throw new Exception($"No open orders or tickets were expected");
+            }
+
+            if (remainingOpenOrders != 0m)
+            {
+                throw new Exception($"No remaining quantity to be filled from open orders was expected");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 475788;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "15"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$15.00"},
+            {"Estimated Strategy Capacity", "$4000.00"},
+            {"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "58.97%"},
+            {"OrderListHash", "19f6e25bdd15d3b0d0126e0019613eae"}
+        };
+    }
+}
--- a/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs
+++ b/Algorithm.CSharp/CompleteOrderTagUpdateAlgorithm.cs
@@ -0,0 +1,198 @@
+/*
+ * 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.Linq;
+
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that closed orders can be updated with a new tag
+    /// </summary>
+    public class CompleteOrderTagUpdateAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private static string TagAfterFill = "This is the tag set after order was filled.";
+        private static string TagAfterCanceled = "This is the tag set after order was canceled.";
+
+        private OrderTicket _marketOrderTicket;
+        private OrderTicket _limitOrderTicket;
+
+        private int _quantity = 100;
+
+        private Symbol _spy;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100000);
+
+            _spy = AddEquity("SPY", Resolution.Minute).Symbol;
+        }
+
+        public override void OnData(Slice data)
+        {
+            if (!Portfolio.Invested)
+            {
+                // a limit order to test the tag update after order was canceled
+                if (_limitOrderTicket == null)
+                {
+                    // low price, we don't want it to fill since we are canceling it
+                    _limitOrderTicket = LimitOrder(_spy, 100, Securities[_spy].Price * 0.1m);
+                    _limitOrderTicket.Cancel();
+                }
+                // a market order to test the tag update after order was filled
+                else
+                {
+                    Buy(_spy, _quantity);
+                }
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Canceled)
+            {
+                if (orderEvent.OrderId != _limitOrderTicket.OrderId)
+                {
+                    throw new Exception("The only canceled order should have been the limit order.");
+                }
+
+                // update canceled order tag
+                UpdateOrderTag(_limitOrderTicket, TagAfterCanceled, "Error updating order tag after canceled");
+            }
+            else if (orderEvent.Status == OrderStatus.Filled)
+            {
+                _marketOrderTicket = Transactions.GetOrderTickets(x => x.OrderType == OrderType.Market).Single();
+                if (orderEvent.OrderId != _marketOrderTicket.OrderId)
+                {
+                    throw new Exception("The only filled order should have been the market order.");
+                }
+
+                // try to update a field other than the tag
+                var updateFields = new UpdateOrderFields();
+                updateFields.Quantity = 50;
+                var response = _marketOrderTicket.Update(updateFields);
+                if (response.IsSuccess)
+                {
+                    throw new Exception("The market order quantity should not have been updated.");
+                }
+
+                // update filled order tag
+                UpdateOrderTag(_marketOrderTicket, TagAfterFill, "Error updating order tag after fill");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // check the filled order
+            AssertOrderTagUpdate(_marketOrderTicket, TagAfterFill, "filled");
+            if (_marketOrderTicket.Quantity != _quantity || _marketOrderTicket.QuantityFilled != _quantity)
+            {
+                throw new Exception("The market order quantity should not have been updated.");
+            }
+
+            // check the canceled order
+            AssertOrderTagUpdate(_limitOrderTicket, TagAfterCanceled, "canceled");
+        }
+
+        private void AssertOrderTagUpdate(OrderTicket ticket, string expectedTag, string orderAction)
+        {
+            if (ticket == null)
+            {
+                throw new Exception($"The order ticket was not set for the {orderAction} order");
+            }
+
+            if (ticket.Tag != expectedTag)
+            {
+                throw new Exception($"Order ticket tag was not updated after order was {orderAction}");
+            }
+
+            var order = Transactions.GetOrderById(ticket.OrderId);
+            if (order.Tag != expectedTag)
+            {
+                throw new Exception($"Order tag was not updated after order was {orderAction}");
+            }
+        }
+
+        private static void UpdateOrderTag(OrderTicket ticket, string tag, string errorMessagePrefix)
+        {
+            var updateFields = new UpdateOrderFields();
+            updateFields.Tag = tag;
+            var response = ticket.Update(updateFields);
+
+            if (response.IsError)
+            {
+                throw new Exception($"{errorMessagePrefix}: {response.ErrorMessage}");
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public Language[] Languages { get; } = { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Trades", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "21.706%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0"},
+            {"Net Profit", "0.251%"},
+            {"Sharpe Ratio", "5.312"},
+            {"Probabilistic Sharpe Ratio", "67.483%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.115"},
+            {"Beta", "0.144"},
+            {"Annual Standard Deviation", "0.032"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-9.515"},
+            {"Tracking Error", "0.191"},
+            {"Treynor Ratio", "1.182"},
+            {"Total Fees", "$1.00"},
+            {"Estimated Strategy Capacity", "$210000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "2.89%"},
+            {"OrderListHash", "cbf413671bbd919d0113b4f2a6a9608f"}
+        };
+    }
+}
--- a/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/CompositeAlphaModelFrameworkAlgorithm.cs
@@ -103,25 +103,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$31.70"},
            {"Estimated Strategy Capacity", "$5900000.00"},
            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
-            {"Fitness Score", "0.501"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "13.543"},
-            {"Return Over Maximum Drawdown", "75.664"},
-            {"Portfolio Turnover", "0.505"},
-            {"Total Insights Generated", "6"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "5"},
-            {"Short Insight Count", "1"},
-            {"Long/Short Ratio", "500%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "40.55%"},
            {"OrderListHash", "f25344c69f9b9476ae5a834616a65c82"}
        };
    }
--- a/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/CompositeRiskManagementModelFrameworkAlgorithm.cs
@@ -76,47 +76,29 @@ namespace QuantConnect.Algorithm.CSharp
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Trades", "7"},
-            {"Average Win", "1.01%"},
+            {"Average Win", "1.05%"},
            {"Average Loss", "-1.01%"},
-            {"Compounding Annual Return", "210.936%"},
+            {"Compounding Annual Return", "227.385%"},
            {"Drawdown", "2.200%"},
-            {"Expectancy", "0.339"},
-            {"Net Profit", "1.461%"},
-            {"Sharpe Ratio", "7.289"},
-            {"Probabilistic Sharpe Ratio", "65.077%"},
+            {"Expectancy", "0.361"},
+            {"Net Profit", "1.528%"},
+            {"Sharpe Ratio", "7.606"},
+            {"Probabilistic Sharpe Ratio", "65.639%"},
            {"Loss Rate", "33%"},
            {"Win Rate", "67%"},
-            {"Profit-Loss Ratio", "1.01"},
-            {"Alpha", "-0.349"},
-            {"Beta", "0.968"},
-            {"Annual Standard Deviation", "0.216"},
-            {"Annual Variance", "0.046"},
-            {"Information Ratio", "-47.59"},
-            {"Tracking Error", "0.009"},
-            {"Treynor Ratio", "1.623"},
-            {"Total Fees", "$24.07"},
+            {"Profit-Loss Ratio", "1.04"},
+            {"Alpha", "-0.288"},
+            {"Beta", "0.994"},
+            {"Annual Standard Deviation", "0.221"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "-46.455"},
+            {"Tracking Error", "0.006"},
+            {"Treynor Ratio", "1.693"},
+            {"Total Fees", "$24.08"},
            {"Estimated Strategy Capacity", "$23000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.999"},
-            {"Kelly Criterion Estimate", "38.796"},
-            {"Kelly Criterion Probability Value", "0.228"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "69.017"},
-            {"Portfolio Turnover", "1.242"},
-            {"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", "$135639.1761"},
-            {"Total Accumulated Estimated Alpha Value", "$21852.9784"},
-            {"Mean Population Estimated Insight Value", "$220.7372"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "58.2788%"},
-            {"Rolling Averaged Population Magnitude", "58.2788%"},
-            {"OrderListHash", "d8d556bcf963ba50f85cea387c55922b"}
+            {"Portfolio Turnover", "139.03%"},
+            {"OrderListHash", "611929a032360026f9afbbc41c0cd758"}
        };
    }
 }
--- a/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs
+++ b/Algorithm.CSharp/ConfidenceWeightedFrameworkAlgorithm.cs
@@ -110,25 +110,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$17.00"},
            {"Estimated Strategy Capacity", "$45000000.00"},
            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
-            {"Fitness Score", "0.067"},
-            {"Kelly Criterion Estimate", "38.796"},
-            {"Kelly Criterion Probability Value", "0.228"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "65.855"},
-            {"Portfolio Turnover", "0.067"},
-            {"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", "$135639.1761"},
-            {"Total Accumulated Estimated Alpha Value", "$21852.9784"},
-            {"Mean Population Estimated Insight Value", "$220.7372"},
-            {"Mean Population Direction", "53.5354%"},
-            {"Mean Population Magnitude", "53.5354%"},
-            {"Rolling Averaged Population Direction", "58.2788%"},
-            {"Rolling Averaged Population Magnitude", "58.2788%"},
+            {"Portfolio Turnover", "5.44%"},
            {"OrderListHash", "8a8c913e5ad4ea956a345c84430649c2"}
        };
    }
--- a/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/ConsolidateRegressionAlgorithm.cs
@@ -30,7 +30,9 @@ namespace QuantConnect.Algorithm.CSharp
    /// </summary>
    public class ConsolidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
-        private List<int> _consolidationCount;
+        private List<int> _consolidationCounts;
+        private List<SimpleMovingAverage> _smas;
+        private List<DateTime> _lastSmaUpdates;
        private int _customDataConsolidator;
        private Symbol _symbol;

@@ -40,38 +42,37 @@ namespace QuantConnect.Algorithm.CSharp
        public override void Initialize()
        {
            SetStartDate(2013, 10, 08);
-            SetEndDate(2013, 10, 11);
+            SetEndDate(2013, 10, 20);

            var SP500 = QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME);
            _symbol = FutureChainProvider.GetFutureContractList(SP500, StartDate).First();
            AddFutureContract(_symbol);

-            _consolidationCount = new List<int> { 0, 0, 0, 0, 0, 0, 0, 0 };
+            _consolidationCounts = Enumerable.Repeat(0, 9).ToList();
+            _smas = _consolidationCounts.Select(_ => new SimpleMovingAverage(10)).ToList();
+            _lastSmaUpdates = _consolidationCounts.Select(_ => DateTime.MinValue).ToList();

-            var sma = new SimpleMovingAverage(10);
            Consolidate<QuoteBar>(_symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
-                bar => UpdateQuoteBar(sma, bar, 0));
+                bar => UpdateQuoteBar(bar, 0));

-            var sma2 = new SimpleMovingAverage(10);
-            Consolidate<QuoteBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(sma2, bar, 1));
+            Consolidate<QuoteBar>(_symbol, time => new CalendarInfo(time.RoundDown(TimeSpan.FromDays(1)), TimeSpan.FromDays(1)),
+                TickType.Quote, bar => UpdateQuoteBar(bar, 1));

-            var sma3 = new SimpleMovingAverage(10);
-            Consolidate(_symbol, Resolution.Daily, TickType.Quote, (Action<QuoteBar>)(bar => UpdateQuoteBar(sma3, bar, 2)));
+            Consolidate<QuoteBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateQuoteBar(bar, 2));

-            var sma4 = new SimpleMovingAverage(10);
-            Consolidate(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(sma4, bar, 3));
+            Consolidate(_symbol, Resolution.Daily, TickType.Quote, (Action<QuoteBar>)(bar => UpdateQuoteBar(bar, 3)));

-            var sma5 = new SimpleMovingAverage(10);
-            Consolidate<TradeBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(sma5, bar, 4));
+            Consolidate(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 4));
+
+            Consolidate<TradeBar>(_symbol, TimeSpan.FromDays(1), bar => UpdateTradeBar(bar, 5));

            // custom data
-            var sma6 = new SimpleMovingAverage(10);
            var symbol = AddData<CustomDataRegressionAlgorithm.Bitcoin>("BTC", Resolution.Minute).Symbol;
            Consolidate<TradeBar>(symbol, TimeSpan.FromDays(1), bar => _customDataConsolidator++);

            try
            {
-                Consolidate<QuoteBar>(symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(sma6, bar, -1); });
+                Consolidate<QuoteBar>(symbol, TimeSpan.FromDays(1), bar => { UpdateQuoteBar(bar, -1); });
                throw new Exception($"Expected {nameof(ArgumentException)} to be thrown");
            }
            catch (ArgumentException)
@@ -80,41 +81,56 @@ namespace QuantConnect.Algorithm.CSharp
            }

            // Test using abstract T types, through defining a 'BaseData' handler
-            var sma7 = new SimpleMovingAverage(10);
-            Consolidate(_symbol, Resolution.Daily, null, (Action<BaseData>)(bar => UpdateBar(sma7, bar, 5)));
+            Consolidate(_symbol, Resolution.Daily, null, (Action<BaseData>)(bar => UpdateBar(bar, 6)));

-            var sma8 = new SimpleMovingAverage(10);
-            Consolidate(_symbol, TimeSpan.FromDays(1), null, (Action<BaseData>)(bar => UpdateBar(sma8, bar, 6)));
+            Consolidate(_symbol, TimeSpan.FromDays(1), null, (Action<BaseData>)(bar => UpdateBar(bar, 7)));

-            var sma9 = new SimpleMovingAverage(10);
-            Consolidate(_symbol, TimeSpan.FromDays(1), (Action<BaseData>)(bar => UpdateBar(sma9, bar, 7)));
+            Consolidate(_symbol, TimeSpan.FromDays(1), (Action<BaseData>)(bar => UpdateBar(bar, 8)));
        }
-        private void UpdateBar(SimpleMovingAverage sma, BaseData tradeBar, int position)
+        private void UpdateBar(BaseData tradeBar, int position)
        {
            if (!(tradeBar is TradeBar))
            {
                throw new Exception("Expected a TradeBar");
            }
-            _consolidationCount[position]++;
-            sma.Update(tradeBar.EndTime, tradeBar.Value);
+            _consolidationCounts[position]++;
+            _smas[position].Update(tradeBar.EndTime, tradeBar.Value);
+            _lastSmaUpdates[position] = tradeBar.EndTime;
        }
-        private void UpdateTradeBar(SimpleMovingAverage sma, TradeBar tradeBar, int position)
+        private void UpdateTradeBar(TradeBar tradeBar, int position)
        {
-            _consolidationCount[position]++;
-            sma.Update(tradeBar.EndTime, tradeBar.High);
+            _consolidationCounts[position]++;
+            _smas[position].Update(tradeBar.EndTime, tradeBar.High);
+            _lastSmaUpdates[position] = tradeBar.EndTime;
        }
-        private void UpdateQuoteBar(SimpleMovingAverage sma, QuoteBar quoteBar, int position)
+        private void UpdateQuoteBar(QuoteBar quoteBar, int position)
        {
-            _consolidationCount[position]++;
-            sma.Update(quoteBar.EndTime, quoteBar.High);
+            _consolidationCounts[position]++;
+            _smas[position].Update(quoteBar.EndTime, quoteBar.High);
+            _lastSmaUpdates[position] = quoteBar.EndTime;
        }

        public override void OnEndOfAlgorithm()
        {
-            if (_consolidationCount.Any(i => i != 3) || _customDataConsolidator == 0)
+            var expectedConsolidations = 8;
+
+            if (_consolidationCounts.Any(i => i != expectedConsolidations) || _customDataConsolidator == 0)
            {
                throw new Exception("Unexpected consolidation count");
            }
+
+            for (var i = 0; i < _smas.Count; i++)
+            {
+                if (_smas[i].Samples != expectedConsolidations)
+                {
+                    throw new Exception($"Expected {expectedConsolidations} samples in each SMA but found {_smas[i].Samples} in SMA in index {i}");
+                }
+
+                if (_smas[i].Current.Time != _lastSmaUpdates[i])
+                {
+                    throw new Exception($"Expected SMA in index {i} to have been last updated at {_lastSmaUpdates[i]} but was {_smas[i].Current.Time}");
+                }
+            }
        }

        /// <summary>
@@ -142,7 +158,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 5450;
+        public long DataPoints => 12244;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -157,44 +173,26 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Trades", "1"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
-            {"Compounding Annual Return", "87589624.963%"},
+            {"Compounding Annual Return", "6636.699%"},
            {"Drawdown", "15.900%"},
            {"Expectancy", "0"},
            {"Net Profit", "16.178%"},
-            {"Sharpe Ratio", "43229388091.465"},
-            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Sharpe Ratio", "640.32"},
+            {"Probabilistic Sharpe Ratio", "99.824%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
-            {"Alpha", "69177566862.121"},
-            {"Beta", "8.93"},
-            {"Annual Standard Deviation", "1.6"},
-            {"Annual Variance", "2.561"},
-            {"Information Ratio", "48583550955.512"},
-            {"Tracking Error", "1.424"},
-            {"Treynor Ratio", "7746445590.006"},
+            {"Alpha", "636.128"},
+            {"Beta", "5.924"},
+            {"Annual Standard Deviation", "1.012"},
+            {"Annual Variance", "1.024"},
+            {"Information Ratio", "696.123"},
+            {"Tracking Error", "0.928"},
+            {"Treynor Ratio", "109.405"},
            {"Total Fees", "$23.65"},
            {"Estimated Strategy Capacity", "$210000000.00"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.999"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "6752050.52"},
-            {"Portfolio Turnover", "2.638"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "81.19%"},
            {"OrderListHash", "dd38e7b94027d20942a5aa9ac31a9a7f"}
        };
    }
--- a/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/ConstituentsUniverseRegressionAlgorithm.cs
@@ -202,25 +202,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$32.32"},
            {"Estimated Strategy Capacity", "$95000000.00"},
            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
-            {"Fitness Score", "0.1"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "79228162514264337593543950335"},
-            {"Return Over Maximum Drawdown", "-36.199"},
-            {"Portfolio Turnover", "0.2"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "20.06%"},
            {"OrderListHash", "3b9c93151bf191a82529e6e915961356"}
        };
    }
--- a/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/ContinuousBackMonthRawFutureRegressionAlgorithm.cs
@@ -134,7 +134,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 264153;
+        public long DataPoints => 689388;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -168,25 +168,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$4.30"},
            {"Estimated Strategy Capacity", "$2200000000.00"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.007"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0.275"},
-            {"Return Over Maximum Drawdown", "2.603"},
-            {"Portfolio Turnover", "0.01"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "0.91%"},
            {"OrderListHash", "ebeeac4c57ccacef7b458b6160190f5b"}
        };
    }
--- a/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs
+++ b/Algorithm.CSharp/ContinuousFutureBackMonthRegressionAlgorithm.cs
@@ -150,7 +150,7 @@ namespace QuantConnect.Algorithm.CSharp
        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
-        public long DataPoints => 284403;
+        public long DataPoints => 709638;

        /// <summary>
        /// Data Points count of the algorithm history
@@ -184,25 +184,7 @@ namespace QuantConnect.Algorithm.CSharp
            {"Total Fees", "$6.45"},
            {"Estimated Strategy Capacity", "$180000000.00"},
            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
-            {"Fitness Score", "0.01"},
-            {"Kelly Criterion Estimate", "0"},
-            {"Kelly Criterion Probability Value", "0"},
-            {"Sortino Ratio", "0.32"},
-            {"Return Over Maximum Drawdown", "2.573"},
-            {"Portfolio Turnover", "0.016"},
-            {"Total Insights Generated", "0"},
-            {"Total Insights Closed", "0"},
-            {"Total Insights Analysis Completed", "0"},
-            {"Long Insight Count", "0"},
-            {"Short Insight Count", "0"},
-            {"Long/Short Ratio", "100%"},
-            {"Estimated Monthly Alpha Value", "$0"},
-            {"Total Accumulated Estimated Alpha Value", "$0"},
-            {"Mean Population Estimated Insight Value", "$0"},
-            {"Mean Population Direction", "0%"},
-            {"Mean Population Magnitude", "0%"},
-            {"Rolling Averaged Population Direction", "0%"},
-            {"Rolling Averaged Population Magnitude", "0%"},
+            {"Portfolio Turnover", "1.36%"},
            {"OrderListHash", "88e74055be58b3759f493b2c47e4c097"}
        };
    }
--- a/Show More
+++ b/Show More