chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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.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.Data;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Orders.Fees;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp.Alphas
+{
+    /// <summary>
+    /// Reversal strategy that goes long when price crosses below SMA and Short when price crosses above SMA.
+    /// The trading strategy is implemented only between 10AM - 3PM (NY time). Research suggests this is due to
+    /// institutional trades during market hours which need hedging with the USD. Source paper:
+    /// LeBaron, Zhao: Intraday Foreign Exchange Reversals
+    /// http://people.brandeis.edu/~blebaron/wps/fxnyc.pdf
+    /// http://www.fma.org/Reno/Papers/ForeignExchangeReversalsinNewYorkTime.pdf
+    ///
+    /// This alpha is part of the Benchmark Alpha Series created by QuantConnect which are open sourced so the community and client funds can see an example of an alpha.
+    ///</summary>
+    public class IntradayReversalCurrencyMarketsAlpha : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2015, 1, 1);
+            SetCash(100000);
+
+            // Set zero transaction fees
+            SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
+
+            // Select resolution
+            var resolution = Resolution.Hour;
+
+            // Reversion on the USD.
+            var symbols = new[] { QuantConnect.Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda) };
+
+            // Set requested data resolution
+            UniverseSettings.Resolution = resolution;
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
+
+            // Use IntradayReversalAlphaModel to establish insights
+            SetAlpha(new IntradayReversalAlphaModel(5, resolution));
+
+            // Equally weigh securities in portfolio, based on insights
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+
+            // Set Immediate Execution Model
+            SetExecution(new ImmediateExecutionModel());
+
+            // Set Null Risk Management Model
+            SetRiskManagement(new NullRiskManagementModel());
+        }
+
+        /// <summary>
+        /// Alpha model that uses a Price/SMA Crossover to create insights on Hourly Frequency.
+        /// Frequency: Hourly data with 5-hour simple moving average.
+        /// Strategy:
+        /// Reversal strategy that goes Long when price crosses below SMA and Short when price crosses above SMA.
+        /// The trading strategy is implemented only between 10AM - 3PM (NY time)
+        /// </summary>
+        private class IntradayReversalAlphaModel : AlphaModel
+        {
+            private readonly int _periodSma;
+            private readonly Resolution _resolution;
+            private readonly Dictionary<Symbol, SymbolData> _cache;
+
+            public IntradayReversalAlphaModel(
+                int periodSma = 5,
+                Resolution resolution = Resolution.Hour)
+            {
+                _periodSma = periodSma;
+                _resolution = resolution;
+                _cache = new Dictionary<Symbol, SymbolData>();
+                Name = "IntradayReversalAlphaModel";
+            }
+
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                // Set the time to close all positions at 3PM
+                var timeToClose = algorithm.Time.Date.Add(new TimeSpan(0, 15, 1, 0));
+
+                var insights = new List<Insight>();
+
+                foreach (var kvp in algorithm.ActiveSecurities)
+                {
+                    var symbol = kvp.Key;
+
+                    SymbolData symbolData;
+
+                    if (ShouldEmitInsight(algorithm, symbol) &&
+                        _cache.TryGetValue(symbol, out symbolData))
+                    {
+                        var price = kvp.Value.Price;
+
+                        var direction = symbolData.IsUptrend(price)
+                            ? InsightDirection.Up
+                            : InsightDirection.Down;
+
+                        // Ignore signal for same direction as previous signal (when no crossover)
+                        if (direction == symbolData.PreviousDirection)
+                        {
+                            continue;
+                        }
+
+                        // Save the current Insight Direction to check when the crossover happens
+                        symbolData.PreviousDirection = direction;
+
+                        // Generate insight
+                        insights.Add(Insight.Price(symbol, timeToClose, direction));
+                    }
+                }
+
+                return insights;
+            }
+
+            private bool ShouldEmitInsight(QCAlgorithm algorithm, Symbol symbol)
+            {
+                var timeOfDay = algorithm.Time.TimeOfDay;
+
+                return algorithm.Securities[symbol].HasData &&
+                    timeOfDay >= TimeSpan.FromHours(10) &&
+                    timeOfDay <= TimeSpan.FromHours(15);
+            }
+
+            public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
+            {
+                foreach (var symbol in changes.AddedSecurities.Select(x => x.Symbol))
+                {
+                    if (_cache.ContainsKey(symbol)) continue;
+                    _cache.Add(symbol, new SymbolData(algorithm, symbol, _periodSma, _resolution));
+                }
+            }
+
+            /// <summary>
+            /// Contains data specific to a symbol required by this model
+            /// </summary>
+            private class SymbolData
+            {
+                private readonly SimpleMovingAverage _priceSMA;
+
+                public InsightDirection PreviousDirection { get; set; }
+
+                public SymbolData(QCAlgorithm algorithm, Symbol symbol, int periodSma, Resolution resolution)
+                {
+                    PreviousDirection = InsightDirection.Flat;
+                    _priceSMA = algorithm.SMA(symbol, periodSma, resolution);
+                }
+
+                public bool IsUptrend(decimal price)
+                {
+                    return _priceSMA.IsReady && price < Math.Round(_priceSMA * 1.001m, 6);
+                }
+            }
+        }
+    }
+}