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 +1,133 @@
+/*
+ * 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.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// This regression algorithm reproduces GH issue 3763 (performing just 1 trade)
+    /// </summary>
+    public class MarginRemainingRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _spy;
+        private Security _appl;
+
+        /// <summary>
+        /// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
+        /// </summary>
+        public override void Initialize()
+        {
+            SetStartDate(2007, 1, 1);
+            SetEndDate(2010, 1, 1);
+
+            _spy = AddEquity("SPY", Resolution.Daily, leverage: 1).Symbol;
+            _appl = AddEquity("AAPL", Resolution.Daily, leverage: 1);
+
+            Schedule.On(DateRules.EveryDay(), TimeRules.Noon, () =>
+            {
+                Plot("Info", "Portfolio.MarginRemaining", Portfolio.MarginRemaining);
+                Plot("Info", "Portfolio.Cash", Portfolio.Cash);
+            });
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (!Portfolio.Invested)
+            {
+                // 70% SPY
+                SetHoldings(_spy, 0.7);
+                Debug("Purchased Stock SPY");
+            }
+
+            if (Portfolio.MarginRemaining <= 0)
+            {
+                throw new RegressionTestException($"Unexpected margin remaining value {Portfolio.MarginRemaining}");
+            }
+
+            // in the 2009 dip buy AAPL
+            if (Time.Year == 2009 && !_appl.Invested)
+            {
+                // 30% SPY
+                SetHoldings(_appl.Symbol, 0.3);
+                Debug("Purchased Stock AAPL");
+            }
+        }
+
+        /// <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 => 6800;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "6.056%"},
+            {"Drawdown", "42.100%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "119303.75"},
+            {"Net Profit", "19.304%"},
+            {"Sharpe Ratio", "0.162"},
+            {"Sortino Ratio", "0.183"},
+            {"Probabilistic Sharpe Ratio", "3.869%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.057"},
+            {"Beta", "0.708"},
+            {"Annual Standard Deviation", "0.177"},
+            {"Annual Variance", "0.031"},
+            {"Information Ratio", "0.8"},
+            {"Tracking Error", "0.087"},
+            {"Treynor Ratio", "0.04"},
+            {"Total Fees", "$45.18"},
+            {"Estimated Strategy Capacity", "$410000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.09%"},
+            {"Drawdown Recovery", "707"},
+            {"OrderListHash", "39bdab2dcde5bed30c6fc3200d39e83c"}
+        };
+    }
+}