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.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Data.Fundamental;
+using QuantConnect.Data.UniverseSelection;
+using QuantConnect.Indicators;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This example algorithm defines its own custom coarse/fine fundamental selection model
+    /// combined with the MACD alpha model.
+    /// </summary>
+    public class CustomFrameworkModelsAlgorithm : QCAlgorithm
+    {
+        public override void Initialize()
+        {
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            SetStartDate(2013, 10, 07);  //Set Start Date
+            SetEndDate(2013, 10, 11);    //Set End Date
+            SetCash(100000);             //Set Strategy Cash
+
+            SetUniverseSelection(new CustomFundamentalUniverseSelectionModel());
+            SetAlpha(new MacdAlphaModel(
+                fastPeriod: 10,
+                slowPeriod: 30,
+                signalPeriod: 12,
+                movingAverageType: MovingAverageType.Simple
+            ));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status.IsFill())
+            {
+                Debug($"Purchased Stock: {orderEvent.Symbol}");
+            }
+        }
+
+        /// <summary>
+        /// Defines a custom <see cref="FundamentalUniverseSelectionModel"/> that takes the top 100 by
+        /// dollar volume and then the top 20 by earnings yield
+        /// </summary>
+        public class CustomFundamentalUniverseSelectionModel : FundamentalUniverseSelectionModel
+        {
+            public CustomFundamentalUniverseSelectionModel()
+                : base(filterFineData: true)
+            {
+            }
+
+            /// <summary>
+            /// Defines the coarse fundamental selection function.
+            /// </summary>
+            /// <param name="algorithm">The algorithm instance</param>
+            /// <param name="coarse">The coarse fundamental data used to perform filtering</param>
+            /// <returns>An enumerable of symbols passing the filter</returns>
+            public override IEnumerable<Symbol> SelectCoarse(QCAlgorithm algorithm, IEnumerable<CoarseFundamental> coarse)
+            {
+                return coarse
+                    .OrderByDescending(c => c.DollarVolume)
+                    .Select(c => c.Symbol)
+                    .Take(100);
+            }
+
+            /// <summary>
+            /// Defines the fine fundamental selection function.
+            /// </summary>
+            /// <param name="algorithm">The algorithm instance</param>
+            /// <param name="fine">The fine fundamental data used to perform filtering</param>
+            /// <returns>An enumerable of symbols passing the filter</returns>
+            public override IEnumerable<Symbol> SelectFine(QCAlgorithm algorithm, IEnumerable<FineFundamental> fine)
+            {
+                return fine
+                    .OrderByDescending(f => f.ValuationRatios.EarningYield)
+                    .Select(f => f.Symbol)
+                    .Take(20);
+            }
+        }
+    }
+}