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 QuantConnect.Data;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Shows how to set a custom benchmark for you algorithms
+    /// </summary>
+    /// <meta name="tag" content="using data" />
+    /// <meta name="tag" content="benchmarks" />
+    public class CustomBenchmarkAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <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, 10, 07);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
+
+            // Disabling the benchmark / setting to a fixed value
+            // SetBenchmark(time => 0);
+
+            // Set the benchmark to AAPL US Equity
+            SetBenchmark("AAPL");
+        }
+
+        /// <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)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings("SPY", 1);
+                Debug("Purchased Stock");
+            }
+
+            Symbol symbol;
+            if (SymbolCache.TryGetSymbol("AAPL", out symbol))
+            {
+                throw new RegressionTestException("Benchmark Symbol is not expected to be added to the Symbol cache");
+            }
+        }
+
+        /// <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 => 234043;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "272.157%"},
+            {"Drawdown", "2.200%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101694.38"},
+            {"Net Profit", "1.694%"},
+            {"Sharpe Ratio", "8.863"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.460%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "1.143"},
+            {"Beta", "0.842"},
+            {"Annual Standard Deviation", "0.222"},
+            {"Annual Variance", "0.049"},
+            {"Information Ratio", "5.987"},
+            {"Tracking Error", "0.165"},
+            {"Treynor Ratio", "2.338"},
+            {"Total Fees", "$3.45"},
+            {"Estimated Strategy Capacity", "$310000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.96%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "8c925e7c6c10ff1da3a40669accba91a"}
+        };
+    }
+}