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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting the futures daily cash settlement behavior taking short positions
+    /// </summary>
+    public class FuturesDailySettlementShortRegressionAlgorithm : FuturesDailySettlementLongRegressionAlgorithm
+    {
+        /// <summary>
+        /// Expected cash balance for each day
+        /// </summary>
+        protected override Dictionary<DateTime, decimal> ExpectedCash { get; } = new()
+        {
+            { new DateTime(2013, 10, 07), 100000 },
+            { new DateTime(2013, 10, 08), 96701.95m },
+            { new DateTime(2013, 10, 09), 98718.55m },
+            { new DateTime(2013, 10, 10), 97937.10m },
+            { new DateTime(2013, 10, 10, 17, 0, 0), 98943.15m }
+        };
+
+        /// <summary>
+        /// Order side factor
+        /// </summary>
+        protected override int OrderSide => -1;
+
+        /// <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 Dictionary<string, string>
+        {
+            {"Total Orders", "6"},
+            {"Average Win", "0.83%"},
+            {"Average Loss", "-0.94%"},
+            {"Compounding Annual Return", "-64.858%"},
+            {"Drawdown", "47.200%"},
+            {"Expectancy", "-0.373"},
+            {"Start Equity", "100000"},
+            {"End Equity", "98943.15"},
+            {"Net Profit", "-1.057%"},
+            {"Sharpe Ratio", "26.42"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "67%"},
+            {"Win Rate", "33%"},
+            {"Profit-Loss Ratio", "0.88"},
+            {"Alpha", "6.391"},
+            {"Beta", "-0.176"},
+            {"Annual Standard Deviation", "0.232"},
+            {"Annual Variance", "0.054"},
+            {"Information Ratio", "11.718"},
+            {"Tracking Error", "0.392"},
+            {"Treynor Ratio", "-34.751"},
+            {"Total Fees", "$19.35"},
+            {"Estimated Strategy Capacity", "$100000000.00"},
+            {"Lowest Capacity Asset", "ES VMKLFZIH2MTD"},
+            {"Portfolio Turnover", "190.82%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "0e022e93654b97f28728151455889a88"}
+        };
+    }
+}