Unhandled Decimal Overflow Exception in PortfolioStatistics

[AlexCatarino]

Expected Behavior

PortfolioStatistics doesn't throw exceptions due to extreme returns.

Actual Behavior

If a daily return is too high, the annual performance equals decimal.MaxValue, which we cannot use to calculate the information ratio.

Potential Solution

• reproduce issue
• review failure location (& other potential similar failures)
• explore reusing extension methods for double to decimal conversions, if applicable

Reproducing the Problem

    public class BasicTemplateAlgorithm : QCAlgorithm
    {
        public override void Initialize()
        {
            SetStartDate(2021, 01, 25);
            SetEndDate(2021, 01, 30);
            var symbol = AddEquity("GME").Symbol;

            @"
2021-01-25T15:00:00Z,GME,22.375,8044,Market,Filled,179984.5, 
2021-01-25T17:00:00Z,GME,24.995,-3043,Market,Filled,-76059.785, 
2021-01-25T18:00:00Z,GME,17.355,-2409,Market,Filled,-41808.195, 
2021-01-25T19:00:00Z,GME,18.915,-1535,Market,Filled,-29034.525, 
2021-01-25T20:00:00Z,GME,19.275,1277,Market,Filled,24614.175, 
2021-01-26T16:00:00Z,GME,21.9025,-1421,Market,Filled,-31123.4525, 
2021-01-26T17:00:00Z,GME,21.92125,1139,Market,Filled,24968.30375, 
2021-01-26T18:00:00Z,GME,26.3525,2691,Market,Filled,70914.5775, 
2021-01-26T20:00:00Z,GME,32.875,732,Market,Filled,24064.5, 
2021-01-27T18:00:00Z,GME,85.625,-4016,Market,Filled,-343870, 
2021-01-28T15:00:00Z,GME,117.125,77,Market,Filled,9018.625, 
2021-01-28T16:00:00Z,GME,66.0025,357,Market,Filled,23562.8925, 
2021-01-28T17:00:00Z,GME,63.7475,-1188,Market,Filled,-75732.03, 
2021-01-28T18:00:00Z,GME,60.0525,1376,Market,Filled,82632.24, 
2021-01-28T19:00:00Z,GME,60.7,-764,Market,Filled,-46374.8, 
2021-01-29T16:00:00Z,GME,83.655,583,Market,Filled,48770.865, 
2021-01-29T18:00:00Z,GME,82.0025,-519,Market,Filled,-42559.2975, 
2021-01-29T20:00:00Z,GME,70.75,-339,Market,Filled,-23984.25, 
2021-01-28T21:00:00Z,GME,95,-406,Market On Open,Filled,-38570, ".Split("\n")
                .Where(x => !string.IsNullOrWhiteSpace(x))
                .DoForEach(x =>
                {
                    var csv = x.Split(',');
                    var date = DateTime.Parse(csv[0]);
                    var quantity = Parse.Decimal(csv[3]);
                    Schedule.On(DateRules.On(date), TimeRules.At(date.TimeOfDay, TimeZones.Utc), () => MarketOrder(symbol, quantity));
                });
        }

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues
• I have provided detailed steps to reproduce the issue

[Martin-Molinero]

BaseResultsHandler.GenerateStatisticsResults(): Error generating statistics packet System.OverflowException: Value was either too large or too small for a Decimal.
   at System.Number.ThrowOverflowException(TypeCode type)
   at System.Decimal.DecCalc.ScaleResult(Buf24* bufRes, UInt32 hiRes, Int32 scale)
   at System.Decimal.DecCalc.DecAddSub(DecCalc& d1, DecCalc& d2, Boolean sign)
   at QuantConnect.Statistics.PortfolioStatistics..ctor(SortedDictionary`2 profitLoss, SortedDictionary`2 equity, SortedDictionary`2 portfolioTurnover, List`1 listPerformance, List`1 listBenchmark, Decimal startingCapital, IRiskFreeInterestRateModel riskFreeInterestRateModel, Int32 tradingDaysPerYear, Nullable`1 winCount, Nullable`1 lossCount) in /Common/Statistics/PortfolioStatistics.cs:line 204

Stack trace,