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.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to assert the behavior of <see cref="MaximumDrawdownPercentPerSecurity"/> Risk Management Model
+    /// </summary>
+    public class MaximumDrawdownPercentPerSecurityFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
+    {
+        public override void Initialize()
+        {
+            base.Initialize();
+            SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)));
+
+            SetRiskManagement(new MaximumDrawdownPercentPerSecurity(0.004m));
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 304;
+
+        /// <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", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "-0.41%"},
+            {"Compounding Annual Return", "-4.899%"},
+            {"Drawdown", "1.100%"},
+            {"Expectancy", "-1"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99592.55"},
+            {"Net Profit", "-0.407%"},
+            {"Sharpe Ratio", "-3.521"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0.003%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "-0.04"},
+            {"Beta", "-0.012"},
+            {"Annual Standard Deviation", "0.012"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-4.647"},
+            {"Tracking Error", "0.05"},
+            {"Treynor Ratio", "3.644"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$74000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "6.66%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "ab2645a4eeb3bbd6b2862df5260d86b4"}
+        };
+    }
+}