chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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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="MaximumDrawdownPercentPortfolio"/> Risk Management Model
+    /// </summary>
+    public class MaximumDrawdownPercentPortfolioFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
+    {
+        public override void Initialize()
+        {
+            base.Initialize();
+            SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("AAPL", SecurityType.Equity, Market.USA)));
+            
+            // define risk management model as a composite of several risk management models
+            SetRiskManagement(new CompositeRiskManagementModel(
+                new MaximumDrawdownPercentPortfolio(0.01m), // Avoid loss of initial capital
+                new MaximumDrawdownPercentPortfolio(0.015m, true) // Avoid profit losses
+            ));
+        }
+
+        /// <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", "2.43%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "34.465%"},
+            {"Drawdown", "2.900%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "102436.11"},
+            {"Net Profit", "2.436%"},
+            {"Sharpe Ratio", "2.474"},
+            {"Sortino Ratio", "2.224"},
+            {"Probabilistic Sharpe Ratio", "65.779%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "100%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.124"},
+            {"Beta", "0.558"},
+            {"Annual Standard Deviation", "0.093"},
+            {"Annual Variance", "0.009"},
+            {"Information Ratio", "0.429"},
+            {"Tracking Error", "0.092"},
+            {"Treynor Ratio", "0.413"},
+            {"Total Fees", "$6.56"},
+            {"Estimated Strategy Capacity", "$57000000.00"},
+            {"Lowest Capacity Asset", "AAPL R735QTJ8XC9X"},
+            {"Portfolio Turnover", "6.63%"},
+            {"Drawdown Recovery", "2"},
+            {"OrderListHash", "bad8a363acf7188f901bd4ebc1897d31"}
+        };
+    }
+}