chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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 System;
+using QuantConnect.Data;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Future;
+using Futures = QuantConnect.Securities.Futures;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Basic Continuous Futures Template Algorithm
+    /// </summary>
+    public class BasicTemplateContinuousFutureAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Future _continuousContract;
+        private Security _currentContract;
+        private SimpleMovingAverage _fast;
+        private SimpleMovingAverage _slow;
+
+        // Minimum SMA gap required before acting on a cross; see the workaround note in OnData.
+        private const decimal CrossThreshold = 0.001m;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2013, 7, 1);
+            SetEndDate(2014, 1, 1);
+
+            _continuousContract = AddFuture(Futures.Indices.SP500EMini,
+                dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
+                dataMappingMode: DataMappingMode.LastTradingDay,
+                contractDepthOffset: 0
+            );
+
+            _fast = SMA(_continuousContract.Symbol, 4, Resolution.Daily);
+            _slow = SMA(_continuousContract.Symbol, 10, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public override void OnData(Slice slice)
+        {
+            foreach (var changedEvent in slice.SymbolChangedEvents.Values)
+            {
+                Debug($"{Time} - SymbolChanged event: {changedEvent}");
+                if (Time.TimeOfDay != TimeSpan.Zero)
+                {
+                    throw new RegressionTestException($"{Time} unexpected symbol changed event {changedEvent}!");
+                }
+            }
+
+            // Workaround so the C# and Python versions take the exact same trades on the limited
+            // sample data in the repository (decimal vs double rounding can disagree at a cross).
+            if (!Portfolio.Invested)
+            {
+                if(_fast.Current.Value - _slow.Current.Value > CrossThreshold)
+                {
+                    _currentContract = Securities[_continuousContract.Mapped];
+                    Buy(_currentContract.Symbol, 1);
+                }
+            }
+            else if(_slow.Current.Value - _fast.Current.Value > CrossThreshold)
+            {
+                Liquidate();
+            }
+
+            // We check exchange hours because the contract mapping can call OnData outside of regular hours.
+            if (_currentContract != null && _currentContract.Symbol != _continuousContract.Mapped && _continuousContract.Exchange.ExchangeOpen)
+            {
+                Log($"{Time} - rolling position from {_currentContract.Symbol} to {_continuousContract.Mapped}");
+
+                var currentPositionSize = _currentContract.Holdings.Quantity;
+                Liquidate(_currentContract.Symbol);
+                Buy(_continuousContract.Mapped, currentPositionSize);
+                _currentContract = Securities[_continuousContract.Mapped];
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Debug($"{orderEvent}");
+        }
+
+        public override void OnSecuritiesChanged(SecurityChanges changes)
+        {
+            Debug($"{Time}-{changes}");
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 162575;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "9"},
+            {"Average Win", "2.85%"},
+            {"Average Loss", "-0.43%"},
+            {"Compounding Annual Return", "11.019%"},
+            {"Drawdown", "0.900%"},
+            {"Expectancy", "2.818"},
+            {"Start Equity", "100000"},
+            {"End Equity", "105403.5"},
+            {"Net Profit", "5.404%"},
+            {"Sharpe Ratio", "1.531"},
+            {"Sortino Ratio", "2.106"},
+            {"Probabilistic Sharpe Ratio", "74.321%"},
+            {"Loss Rate", "50%"},
+            {"Win Rate", "50%"},
+            {"Profit-Loss Ratio", "6.64"},
+            {"Alpha", "0.067"},
+            {"Beta", "0.009"},
+            {"Annual Standard Deviation", "0.045"},
+            {"Annual Variance", "0.002"},
+            {"Information Ratio", "-1.606"},
+            {"Tracking Error", "0.093"},
+            {"Treynor Ratio", "7.237"},
+            {"Total Fees", "$19.35"},
+            {"Estimated Strategy Capacity", "$1000000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "4.18%"},
+            {"Drawdown Recovery", "19"},
+            {"OrderListHash", "eb3bed9886f79a56c631225a6445adb2"}
+        };
+    }
+}