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 System.Collections.Generic;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example demonstrates how to add index asset types.
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    /// <meta name="tag" content="indexes" />
+    public class BasicTemplateIndexAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        protected Symbol Spx { get; set; }
+        protected Symbol SpxOption { get; set; }
+        private ExponentialMovingAverage _emaSlow;
+        private ExponentialMovingAverage _emaFast;
+
+        protected virtual Resolution Resolution => Resolution.Minute;
+        protected virtual int StartDay => 4;
+
+        /// <summary>
+        /// Initialize your algorithm and add desired assets.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, StartDay);
+            SetEndDate(2021, 1, 18);
+            SetCash(1000000);
+
+            // Use indicator for signal; but it cannot be traded
+            Spx = AddIndex("SPX", Resolution).Symbol;
+
+            // Trade on SPX ITM calls
+            SpxOption = QuantConnect.Symbol.CreateOption(
+                Spx,
+                Market.USA,
+                OptionStyle.European,
+                OptionRight.Call,
+                3200m,
+                new DateTime(2021, 1, 15));
+
+            AddIndexOptionContract(SpxOption, Resolution);
+
+            _emaSlow = EMA(Spx, Resolution > Resolution.Minute ? 6 : 80);
+            _emaFast = EMA(Spx, Resolution > Resolution.Minute ? 2 : 200);
+
+            Settings.DailyPreciseEndTime = true;
+        }
+
+        /// <summary>
+        /// Index EMA Cross trading underlying.
+        /// </summary>
+        public override void OnData(Slice slice)
+        {
+            if (!slice.Bars.ContainsKey(Spx) || !slice.Bars.ContainsKey(SpxOption))
+            {
+                return;
+            }
+
+            // Warm up indicators
+            if (!_emaSlow.IsReady)
+            {
+                return;
+            }
+
+            if (_emaFast > _emaSlow)
+            {
+                SetHoldings(SpxOption, 1);
+            }
+            else
+            {
+                Liquidate();
+            }
+        }
+
+        /// <summary>
+        /// Asserts indicators are ready
+        /// </summary>
+        /// <exception cref="RegressionTestException"></exception>
+        protected void AssertIndicators()
+        {
+            if (!_emaSlow.IsReady || !_emaFast.IsReady)
+            {
+                throw new RegressionTestException("Indicators are not ready!");
+            }
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Portfolio[Spx].TotalSaleVolume > 0)
+            {
+                throw new RegressionTestException("Index is not tradable.");
+            }
+            AssertIndicators();
+        }
+
+        /// <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 virtual bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public virtual List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public virtual long DataPoints => 16199;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public virtual 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 virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "3"},
+            {"Average Win", "7.08%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "603.355%"},
+            {"Drawdown", "3.400%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "1000000"},
+            {"End Equity", "1064395"},
+            {"Net Profit", "6.440%"},
+            {"Sharpe Ratio", "-4.563"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0.604%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.169"},
+            {"Beta", "0.073"},
+            {"Annual Standard Deviation", "0.028"},
+            {"Annual Variance", "0.001"},
+            {"Information Ratio", "-6.684"},
+            {"Tracking Error", "0.099"},
+            {"Treynor Ratio", "-1.771"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$3000.00"},
+            {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
+            {"Portfolio Turnover", "23.97%"},
+            {"Drawdown Recovery", "9"},
+            {"OrderListHash", "4b560d2a8cfae510c3c8dc92603470fc"}
+        };
+    }
+}