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
@@ -0,0 +1,149 @@
+/*
+ * 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.Brokerages;
+using QuantConnect.Interfaces;
+using System.Collections.Generic;
+using QuantConnect.Securities.Crypto;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    public class CoinbaseCryptoYearMarketTradingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <summary>
+        /// The Average amount of day in year
+        /// </summary>
+        /// <remarks>Regardless of calendar</remarks>
+        private const int _daysInYear = 365;
+
+        /// <summary>
+        /// Flag prevents same order <see cref="Orders.OrderDirection"/>
+        /// </summary>
+        private bool _isBuy;
+
+        /// <summary>
+        /// Trading security
+        /// </summary>
+        private Crypto _BTCUSD;
+
+        /// <summary>
+        /// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        /// <remarks>In fact, you can assign custom value for <see cref="IAlgorithmSettings.TradingDaysPerYear"/></remarks>
+        public override void Initialize()
+        {
+            SetStartDate(2015, 01, 13);
+            SetEndDate(2016, 02, 03);
+
+            SetCash(100000);
+
+            // Setup brokerage for current algorithm
+            SetBrokerageModel(BrokerageName.Coinbase, AccountType.Cash);
+
+            _BTCUSD = AddCrypto("BTCUSD", Resolution.Daily, Market.Coinbase);
+        }
+
+        /// <summary>
+        /// Data Event Handler: receiving all subscription data in a single event
+        /// </summary>
+        /// <param name="slice">The current slice of data keyed by symbol string</param>
+        public override void OnData(Slice slice)
+        {
+            if (!_isBuy)
+            {
+                MarketOrder(_BTCUSD, 1);
+                _isBuy = true;
+            }
+            else
+            {
+                Liquidate();
+                _isBuy = false;
+            }
+        }
+
+        /// <summary>
+        /// End of algorithm run event handler. This method is called at the end of a backtest or live trading operation. Intended for closing out logs.
+        /// </summary>
+        public override void OnEndOfAlgorithm()
+        {
+            if (Settings.TradingDaysPerYear != _daysInYear)
+            {
+                throw new RegressionTestException("The Algorithm was using invalid `TradingDaysPerYear` for this brokerage. The ExpectedStatistics is wrong.");
+            }
+        }
+
+        /// <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 => 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 };
+
+        /// <summary>
+        /// Data Points count of all time slices of algorithm
+        /// </summary>
+        public long DataPoints => 673;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 11;
+
+        /// <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", "388"},
+            {"Average Win", "0.01%"},
+            {"Average Loss", "-0.01%"},
+            {"Compounding Annual Return", "-0.564%"},
+            {"Drawdown", "0.600%"},
+            {"Expectancy", "-0.376"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "99400.91"},
+            {"Net Profit", "-0.599%"},
+            {"Sharpe Ratio", "-6.894"},
+            {"Sortino Ratio", "-7.131"},
+            {"Probabilistic Sharpe Ratio", "0.000%"},
+            {"Loss Rate", "65%"},
+            {"Win Rate", "35%"},
+            {"Profit-Loss Ratio", "0.81"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0.002"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-2.888"},
+            {"Tracking Error", "0.002"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$331.46"},
+            {"Estimated Strategy Capacity", "$71000.00"},
+            {"Lowest Capacity Asset", "BTCUSD 2XR"},
+            {"Portfolio Turnover", "0.29%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "a7ef334a2bc23bdc604781d780e69e0d"}
+        };
+    }
+}