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;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm tests In The Money (ITM) index option expiry for calls using daily resolution.
+    /// </summary>
+    public class IndexOptionCallITMExpiryDailyRegressionAlgorithm : IndexOptionCallITMExpiryRegressionAlgorithm
+    {
+        protected override Resolution Resolution => Resolution.Daily;
+
+        public override void Initialize()
+        {
+            Settings.DailyPreciseEndTime = true;
+            base.Initialize();
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public override List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 196;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 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", "2"},
+            {"Average Win", "10.27%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "301.565%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "110274"},
+            {"Net Profit", "10.274%"},
+            {"Sharpe Ratio", "5.291"},
+            {"Sortino Ratio", "384.846"},
+            {"Probabilistic Sharpe Ratio", "88.483%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "1.833"},
+            {"Beta", "-0.228"},
+            {"Annual Standard Deviation", "0.345"},
+            {"Annual Variance", "0.119"},
+            {"Information Ratio", "4.653"},
+            {"Tracking Error", "0.383"},
+            {"Treynor Ratio", "-7.99"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", "SPX XL80P3GHIA9A|SPX 31"},
+            {"Portfolio Turnover", "1.90%"},
+            {"Drawdown Recovery", "9"},
+            {"OrderListHash", "b2fd77dc3263ae6b61f9940fc2370235"}
+        };
+    }
+}