Trigger initial selection for a yearly schedule

Algorithm.CSharp/YearlyUniverseSelectionScheduleRegressionAlgorithm.cs

@@ -0,0 +1,135 @@
+/*
+ * 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 QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.Fundamental;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression test algorithm for scheduled universe selection GH 3890
+    /// </summary>
+    public class YearlyUniverseSelectionScheduleRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _yearlyDateSelection;
+        private readonly Symbol _symbol = 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(2014, 03, 25);
+            SetEndDate(2014, 05, 10);
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            AddUniverse(DateRules.YearStart(), SelectionFunction);
+        }
+
+        public IEnumerable<Symbol> SelectionFunction(IEnumerable<Fundamental> coarse)
+        {
+            _yearlyDateSelection++;
+            if (Time != StartDate)
+            {
+                throw new RegressionTestException($"SelectionFunction_SpecificDate unexpected selection: {Time}");
+            }
+            return new[] { _symbol };
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="slice">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_symbol, 1);
+                Debug($"Purchased Stock {_symbol}");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (_yearlyDateSelection != 1)
+            {
+                throw new RegressionTestException($"Initial yearly selection didn't happen!");
+            }
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 271;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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 List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <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 Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "4.334%"},
+            {"Drawdown", "3.900%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100532.22"},
+            {"Net Profit", "0.532%"},
+            {"Sharpe Ratio", "0.28"},
+            {"Sortino Ratio", "0.283"},
+            {"Probabilistic Sharpe Ratio", "39.422%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.022"},
+            {"Beta", "1.018"},
+            {"Annual Standard Deviation", "0.099"},
+            {"Annual Variance", "0.01"},
+            {"Information Ratio", "-2.462"},
+            {"Tracking Error", "0.009"},
+            {"Treynor Ratio", "0.027"},
+            {"Total Fees", "$3.07"},
+            {"Estimated Strategy Capacity", "$920000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "2.20%"},
+            {"Drawdown Recovery", "5"},
+            {"OrderListHash", "87438e51988f37757a2d7f97389483ea"}
+        };
+    }
+}

Engine/DataFeeds/DataManager.cs

@@ -130,7 +130,7 @@ public DataManager(
                             // making the selection to be triggered at the first algorithm time, which would be the exact StartDate.
                             universeType != typeof(ScheduledUniverse))
                         {
-                            const int maximumLookback = 60;
+                            const int maximumLookback = 365;
                             var loopCount = 0;
                             var startLocalTime = start.ConvertFromUtc(security.Exchange.TimeZone);
                             if (universe.UniverseSettings.Schedule.Initialized)