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.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Alphas;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to assert the behavior of <see cref="EmaCrossAlphaModel"/>.
+    /// </summary>
+    public class EmaCrossAlphaModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
+    {
+        public override void Initialize()
+        {
+            base.Initialize();
+            SetAlpha(new EmaCrossAlphaModel());
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+        }
+
+        public override int AlgorithmHistoryDataPoints => 152;
+
+        /// <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 override Dictionary<string, string> ExpectedStatistics => new()
+        {
+            {"Total Orders", "38"},
+            {"Average Win", "0.36%"},
+            {"Average Loss", "-0.17%"},
+            {"Compounding Annual Return", "69.878%"},
+            {"Drawdown", "0.900%"},
+            {"Expectancy", "1.552"},
+            {"Start Equity", "100000"},
+            {"End Equity", "104401.15"},
+            {"Net Profit", "4.401%"},
+            {"Sharpe Ratio", "8.193"},
+            {"Sortino Ratio", "16.18"},
+            {"Probabilistic Sharpe Ratio", "97.652%"},
+            {"Loss Rate", "19%"},
+            {"Win Rate", "81%"},
+            {"Profit-Loss Ratio", "2.14"},
+            {"Alpha", "0.371"},
+            {"Beta", "0.406"},
+            {"Annual Standard Deviation", "0.055"},
+            {"Annual Variance", "0.003"},
+            {"Information Ratio", "4.394"},
+            {"Tracking Error", "0.059"},
+            {"Treynor Ratio", "1.106"},
+            {"Total Fees", "$80.35"},
+            {"Estimated Strategy Capacity", "$9600000.00"},
+            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
+            {"Portfolio Turnover", "17.26%"},
+            {"Drawdown Recovery", "6"},
+            {"OrderListHash", "49a74c348d955700aa5b230f596ed85b"}
+        };
+    }
+}