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.Orders.Fees;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Algorithm.CSharp.Alphas
+{
+    /// <summary>
+    /// Identify "pumped" penny stocks and predict that the price of a "Pumped" penny stock reverts to mean
+    ///
+    /// 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 SykesShortMicroCapAlpha : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2018, 1, 1);
+            SetCash(100000);
+
+            // Set zero transaction fees
+            SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
+
+            // Select stocks using PennyStockUniverseSelectionModel
+            UniverseSettings.Resolution = Resolution.Daily;
+            SetUniverseSelection(new PennyStockUniverseSelectionModel());
+
+            // Use SykesShortMicroCapAlphaModel to establish insights
+            SetAlpha(new SykesShortMicroCapAlphaModel());
+
+            // 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>
+        /// Performs coarse selection for constituents.
+        /// The stocks must have fundamental data
+        /// The stock must have positive previous-day close price
+        /// The stock must have volume between $1000000 and $10000 on the previous trading day
+        /// The stock must cost less than $5'''
+        /// </summary>
+        private class PennyStockUniverseSelectionModel : FundamentalUniverseSelectionModel
+        {
+            private const int _numberOfSymbolsCoarse = 500;
+            private int _lastMonth = -1;
+
+            public PennyStockUniverseSelectionModel() : base(false)
+            {
+            }
+
+            public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
+            {
+                var month = algorithm.Time.Month;
+                if (month == _lastMonth)
+                {
+                    return algorithm.Universe.Unchanged;
+                }
+                _lastMonth = month;
+
+                return (from cf in coarse
+                        where cf.HasFundamentalData
+                        where cf.Volume < 1000000
+                        where cf.Volume > 10000
+                        where cf.Price < 5
+                        orderby cf.DollarVolume descending
+                        select cf.Symbol).Take(_numberOfSymbolsCoarse);
+            }
+        }
+
+        /// <summary>
+        /// Uses ranking of intraday percentage difference between open price and close price to create magnitude and direction prediction for insights
+        /// </summary>
+        private class SykesShortMicroCapAlphaModel : AlphaModel
+        {
+            private readonly int _numberOfStocks;
+            private readonly TimeSpan _predictionInterval;
+
+            public SykesShortMicroCapAlphaModel(
+                int lookback = 1,
+                int numberOfStocks = 10,
+                Resolution resolution = Resolution.Daily)
+            {
+                _numberOfStocks = numberOfStocks;
+                _predictionInterval = resolution.ToTimeSpan().Multiply(lookback);
+            }
+
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                return (
+                    from entry in algorithm.ActiveSecurities
+                    let security = entry.Value
+                    where security.HasData && security.Open > 0
+                    // Rank penny stocks on one day price change
+                    let Magnitude = security.Close / security.Open - 1
+                    orderby Math.Round(Magnitude, 6), security.Symbol descending
+                    select Insight.Price(security.Symbol, _predictionInterval, InsightDirection.Down, Math.Abs((double)Magnitude)))
+                    // Retrieve list of _numberOfStocks "pumped" penny stocks
+                    .Take(_numberOfStocks);
+            }
+        }
+    }
+}