Update Python Libraries

[AlexCatarino]

Expected Behavior

Python libraries listed in DockerLeanFoundation have the newest version possible.

Actual Behavior

Since the libraries' versions are fixed, they can be outdated.

Potential Solution

Upgrade some libraries. Users have requested for updates of:

• pyportfolioopt (> 0.5.3)
• mlfinlab (>0.5.4)
• lightgbm from version 2.2.3 to 2.3.0.

System Information

QuantConnect Cloud.

Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues

[Jackal08]

mlfinlab is currently on version 0.7.1 with new portfolio optimizers added and backtest statistics such as deflated and probabilistic sharpe ratios.

[adriantorrie]

When this is updated, can the latest mlfinlab be installed please, instead of pinning to 0.5.4.

Current version at time of this comment is: 0.9.3

It's going through a rapid release cycle, it's had 6 releases in the past month alone:

• Two MINOR bumps
• Four PATCH bumps

Happy to help out if needed, just point me in the right direction.