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 System.Collections.Generic;
+using System.Linq;
+using QuantConnect.Data;
+using QuantConnect.Indicators;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Scalps ES futures contracts (E-mini SP500) using an EMA cross strategy at minute resolution.
+    /// This tests futures strategies that trade at a higher frequency, which
+    /// should have a reduced capacity estimate as a result.
+    /// </summary>
+    /// <remarks>
+    /// The insanely high capacity estimate of this strategy is realistic.
+    /// ES notional contract value traded is around $600 Billion USD per day (!!!), which
+    /// is what the capacity is set to.
+    /// </remarks>
+    public class IntradayMinuteScalpingFuturesES : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+        private Symbol _contract;
+
+        public override void Initialize()
+        {
+            SetStartDate(2021, 1, 1);
+            SetEndDate(2021, 1, 31);
+            SetCash(100000);
+            SetWarmup(1000);
+
+            var a = AddFuture("ES", Resolution.Minute, Market.CME);
+            a.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, 10);
+                _slow = EMA(contract, 20);
+                _contract = contract;
+            }
+
+            if (!_fast.IsReady || !_slow.IsReady)
+            {
+                return;
+            }
+
+            if (!Portfolio.ContainsKey(contract) || (Portfolio[contract].Quantity <= 0 && _fast > _slow))
+            {
+                SetHoldings(contract, 1);
+            }
+            else if (Portfolio.ContainsKey(contract) && Portfolio[contract].Quantity >= 0 && _fast < _slow)
+            {
+                SetHoldings(contract, -1);
+            }
+        }
+
+        /// <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", "1217"},
+            {"Average Win", "2.69%"},
+            {"Average Loss", "-0.93%"},
+            {"Compounding Annual Return", "-99.756%"},
+            {"Drawdown", "77.200%"},
+            {"Expectancy", "-0.047"},
+            {"Net Profit", "-40.013%"},
+            {"Sharpe Ratio", "-0.52"},
+            {"Probabilistic Sharpe Ratio", "19.865%"},
+            {"Loss Rate", "75%"},
+            {"Win Rate", "25%"},
+            {"Profit-Loss Ratio", "2.88"},
+            {"Alpha", "-1.279"},
+            {"Beta", "-3.686"},
+            {"Annual Standard Deviation", "1.85"},
+            {"Annual Variance", "3.422"},
+            {"Information Ratio", "-0.463"},
+            {"Tracking Error", "1.895"},
+            {"Treynor Ratio", "0.261"},
+            {"Total Fees", "$19843.10"},
+            {"Estimated Strategy Capacity", "$560000000.00"},
+            {"Fitness Score", "0.334"},
+            {"Kelly Criterion Estimate", "0"},
+            {"Kelly Criterion Probability Value", "0"},
+            {"Sortino Ratio", "-0.837"},
+            {"Return Over Maximum Drawdown", "-1.402"},
+            {"Portfolio Turnover", "1174.125"},
+            {"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", "f353843132df7b0604eff3a37b134ca2"}
+        };
+    }
+}