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 +1,180 @@
+/*
+ * 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.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Futures regression algorithm intended to test the behavior of the framework models. See GH issue 4027.
+    /// </summary>
+    public class EqualWeightingPortfolioConstructionModelFutureRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private int _fillCount;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+
+            SetUniverseSelection(new FrontMonthFutureUniverseSelectionModel(SelectFutureChainSymbols));
+            SetAlpha(new ConstantFutureContractAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromDays(1)));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
+            SetExecution(new ImmediateExecutionModel());
+
+            // Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
+            // Commented so regression algorithm is more sensitive
+            //Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
+        }
+
+        // future symbol universe selection function
+        private static IEnumerable<Symbol> SelectFutureChainSymbols(DateTime utcTime)
+        {
+            return new []
+            {
+                QuantConnect.Symbol.Create(Futures.Indices.SP500EMini, SecurityType.Future, Market.CME),
+                QuantConnect.Symbol.Create(Futures.Metals.Gold, SecurityType.Future, Market.COMEX)
+            };
+        }
+
+        /// <summary>
+        /// Creates futures chain universes that select the front month contract and runs a user
+        /// defined futureChainSymbolSelector every day to enable choosing different futures chains
+        /// </summary>
+        class FrontMonthFutureUniverseSelectionModel : FutureUniverseSelectionModel
+        {
+            public FrontMonthFutureUniverseSelectionModel(Func<DateTime, IEnumerable<Symbol>> futureChainSymbolSelector)
+                : base(TimeSpan.FromDays(1), futureChainSymbolSelector)
+            {
+            }
+
+            /// <summary>
+            /// Defines the future chain universe filter
+            /// </summary>
+            protected override FutureFilterUniverse Filter(FutureFilterUniverse filter)
+            {
+                return filter
+                    .FrontMonth()
+                    .OnlyApplyFilterAtMarketOpen();
+            }
+        }
+
+        /// <summary>
+        /// Implementation of a constant alpha model that only emits insights for future symbols
+        /// </summary>
+        class ConstantFutureContractAlphaModel : ConstantAlphaModel
+        {
+            public ConstantFutureContractAlphaModel(InsightType type, InsightDirection direction, TimeSpan period)
+                : base(type, direction, period)
+            {
+            }
+
+            protected override bool ShouldEmitInsight(DateTime utcTime, Symbol symbol)
+            {
+                // only emit alpha for future symbols and not underlying equity symbols
+                if (symbol.SecurityType != SecurityType.Future)
+                {
+                    return false;
+                }
+
+                return base.ShouldEmitInsight(utcTime, symbol);
+            }
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            Log($"{orderEvent}");
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                _fillCount++;
+                if (_fillCount == 2)
+                {
+                    if (Portfolio.TotalHoldingsValue / Portfolio.TotalPortfolioValue < 10)
+                    {
+                        throw new RegressionTestException("Expected to be trading using the futures margin leverage");
+                    }
+                }
+            }
+        }
+
+        /// <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 };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 36213;
+
+        /// <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", "8"},
+            {"Average Win", "0.69%"},
+            {"Average Loss", "-2.47%"},
+            {"Compounding Annual Return", "-99.946%"},
+            {"Drawdown", "28.600%"},
+            {"Expectancy", "-0.680"},
+            {"Start Equity", "100000"},
+            {"End Equity", "90213.76"},
+            {"Net Profit", "-9.786%"},
+            {"Sharpe Ratio", "-0.603"},
+            {"Sortino Ratio", "-0.892"},
+            {"Probabilistic Sharpe Ratio", "30.066%"},
+            {"Loss Rate", "75%"},
+            {"Win Rate", "25%"},
+            {"Profit-Loss Ratio", "0.28"},
+            {"Alpha", "-15.818"},
+            {"Beta", "7.498"},
+            {"Annual Standard Deviation", "1.669"},
+            {"Annual Variance", "2.787"},
+            {"Information Ratio", "-2.061"},
+            {"Tracking Error", "1.447"},
+            {"Treynor Ratio", "-0.134"},
+            {"Total Fees", "$52.01"},
+            {"Estimated Strategy Capacity", "$1800000.00"},
+            {"Lowest Capacity Asset", "GC VL5E74HP3EE5"},
+            {"Portfolio Turnover", "475.60%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "91aeb0d6f6a18df9fd755fc473183395"}
+        };
+    }
+}