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.Orders.Fees;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp.Alphas
+{
+    /// <summary>
+    /// Leveraged ETFs (LETF) promise a fixed leverage ratio with respect to an underlying asset or an index.
+    /// A Triple-Leveraged ETF allows speculators to amplify their exposure to the daily returns of an underlying index by a factor of 3.
+    ///
+    /// Increased volatility generally decreases the value of a LETF over an extended period of time as daily compounding is amplified.
+    ///
+    /// This alpha emits short-biased insight to capitalize on volatility decay for each listed pair of TL-ETFs, by rebalancing the
+    /// ETFs with equal weights each day.
+    ///
+    /// 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 TripleLeveragedETFPairVolatilityDecayAlpha : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2018, 1, 1);
+
+            SetCash(100000);
+
+            // Set zero transaction fees
+            SetSecurityInitializer(security => security.FeeModel = new ConstantFeeModel(0));
+
+            // 3X ETF pair tickers
+            var ultraLong = QuantConnect.Symbol.Create("UGLD", SecurityType.Equity, Market.USA);
+            var ultraShort = QuantConnect.Symbol.Create("DGLD", SecurityType.Equity, Market.USA);
+
+            // Manually curated universe
+            UniverseSettings.Resolution = Resolution.Daily;
+            SetUniverseSelection(new ManualUniverseSelectionModel(new[] { ultraLong, ultraShort }));
+
+            // Select the demonstration alpha model
+            SetAlpha(new RebalancingTripleLeveragedETFAlphaModel(ultraLong, ultraShort));
+
+            // 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>
+        /// Rebalance a pair of 3x leveraged ETFs and predict that the value of both ETFs in each pair will decrease.
+        /// </summary>
+        private class RebalancingTripleLeveragedETFAlphaModel : AlphaModel
+        {
+            private const double _magnitude = 0.001;
+            private readonly Symbol _ultraLong;
+            private readonly Symbol _ultraShort;
+            private readonly TimeSpan _period;
+
+            public RebalancingTripleLeveragedETFAlphaModel(Symbol ultraLong, Symbol ultraShort)
+            {
+                // Giving an insight period 1 days.
+                _period = QuantConnect.Time.OneDay;
+
+                _ultraLong = ultraLong;
+                _ultraShort = ultraShort;
+
+                Name = "RebalancingTripleLeveragedETFAlphaModel";
+            }
+
+            public override IEnumerable<Insight> Update(QCAlgorithm algorithm, Slice data)
+            {
+                return Insight.Group(new[]
+                {
+                    Insight.Price(_ultraLong, _period, InsightDirection.Down, _magnitude),
+                    Insight.Price(_ultraShort, _period, InsightDirection.Down, _magnitude)
+                });
+            }
+        }
+    }
+}