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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Tests an illiquid asset that has bursts of liquidity around 11:00 A.M. Central Time
+    /// with an hourly in and out strategy.
+    /// </summary>
+    public class CheeseMilkHourlyRebalance : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+        private Symbol _contract;
+        private DateTime _lastTrade;
+
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 1);
+            SetEndDate(2021, 2, 17);
+            SetTimeZone(TimeZones.Chicago);
+            SetCash(100000);
+            SetWarmup(1000);
+
+            var dc = AddFuture("DC", Resolution.Minute, Market.CME);
+            dc.SetFilter(0, 10000);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            var contract = slice.FutureChains.Values.SelectMany(c => c.Contracts.Values)
+                .OrderBy(c => c.Symbol.ID.Date)
+                .FirstOrDefault()?
+                .Symbol;
+
+            if (contract == null)
+            {
+                return;
+            }
+
+            if (_contract != contract || (_fast == null && _slow == null))
+            {
+                _fast = EMA(contract, 600);
+                _slow = EMA(contract, 1200);
+                _contract = contract;
+            }
+
+            if (!_fast.IsReady || !_slow.IsReady)
+            {
+                return;
+            }
+
+            if (Time - _lastTrade <= TimeSpan.FromHours(1) || Time.TimeOfDay <= new TimeSpan(10, 50, 0) || Time.TimeOfDay >= new TimeSpan(12, 30, 0))
+            {
+                return;
+            }
+
+            if (!Portfolio.ContainsKey(contract) || (Portfolio[contract].Quantity <= 0 && _fast > _slow))
+            {
+                SetHoldings(contract, 0.5);
+                _lastTrade = Time;
+            }
+            else if (Portfolio.ContainsKey(contract) && Portfolio[contract].Quantity >= 0 && _fast < _slow)
+            {
+                SetHoldings(contract, -0.5);
+                _lastTrade = Time;
+            }
+        }
+
+        /// <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; } = false;
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 0;
+
+        /// </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", "19"},
+            {"Average Win", "39.16%"},
+            {"Average Loss", "-8.81%"},
+            {"Compounding Annual Return", "-99.857%"},
+            {"Drawdown", "82.900%"},
+            {"Expectancy", "-0.359"},
+            {"Net Profit", "-57.725%"},
+            {"Sharpe Ratio", "-0.555"},
+            {"Probabilistic Sharpe Ratio", "10.606%"},
+            {"Loss Rate", "88%"},
+            {"Win Rate", "12%"},
+            {"Profit-Loss Ratio", "4.45"},
+            {"Alpha", "-1.188"},
+            {"Beta", "0.603"},
+            {"Annual Standard Deviation", "1.754"},
+            {"Annual Variance", "3.075"},
+            {"Information Ratio", "-0.759"},
+            {"Tracking Error", "1.753"},
+            {"Treynor Ratio", "-1.612"},
+            {"Total Fees", "$2558.55"},
+            {"Estimated Strategy Capacity", "$20000.00"},
+            {"Fitness Score", "0.351"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "-0.602"},
+            {"Return Over Maximum Drawdown", "-1.415"},
+            {"Portfolio Turnover", "14.226"},
+            {"Total Insights Generated", "0"},
+            {"Total Insights Closed", "0"},
+            {"Total Insights Analysis Completed", "0"},
+            {"Long Insight Count", "0"},
+            {"Short Insight Count", "0"},
+            {"Long/Short Ratio", "100%"},
+            {"Estimated Monthly Alpha Value", "$0"},
+            {"Total Accumulated Estimated Alpha Value", "$0"},
+            {"Mean Population Estimated Insight Value", "$0"},
+            {"Mean Population Direction", "0%"},
+            {"Mean Population Magnitude", "0%"},
+            {"Rolling Averaged Population Direction", "0%"},
+            {"Rolling Averaged Population Magnitude", "0%"},
+            {"OrderListHash", "4f5fd2fb25e957bd0cb7cb6d275ddb97"}
+        };
+    }
+}