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 System.Linq;
+using QuantConnect.Algorithm.Framework.Risk;
+using QuantConnect.Algorithm.Framework.Selection;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Show example of how to use the <see cref="MaximumSectorExposureRiskManagementModel"/> Risk Management Model
+    /// </summary>
+    public class MaximumSectorExposureRiskManagementModelFrameworkRegressionAlgorithm : BaseFrameworkRegressionAlgorithm
+    {
+        public override void Initialize()
+        {
+            base.Initialize();
+
+            // Set requested data resolution
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            SetStartDate(2014, 2, 1);  //Set Start Date
+            SetEndDate(2014, 5, 1);    //Set End Date
+
+            // set algorithm framework models
+            var tickers = new string[] { "AAPL", "MSFT", "GOOG", "AIG", "BAC" };
+            SetUniverseSelection(new FineFundamentalUniverseSelectionModel(
+                coarse => coarse.Where(x => tickers.Contains(x.Symbol.Value)).Select(x => x.Symbol),
+                fine => fine.Select(x => x.Symbol)
+            ));
+
+            // define risk management model such that maximum weight of a single sector be 10%
+            // Number of of trades changed from 34 to 30 when using the MaximumSectorExposureRiskManagementModel
+            SetRiskManagement(new MaximumSectorExposureRiskManagementModel(0.1m));
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            // The MaximumSectorExposureRiskManagementModel does not expire insights
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 555;
+
+        /// <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", "15"},
+            {"Average Win", "0.09%"},
+            {"Average Loss", "-0.16%"},
+            {"Compounding Annual Return", "-2.427%"},
+            {"Drawdown", "1.400%"},
+            {"Expectancy", "-0.544"},
+            {"Start Equity", "100000"},
+            {"End Equity", "99396.26"},
+            {"Net Profit", "-0.604%"},
+            {"Sharpe Ratio", "-1.264"},
+            {"Sortino Ratio", "-0.962"},
+            {"Probabilistic Sharpe Ratio", "7.240%"},
+            {"Loss Rate", "71%"},
+            {"Win Rate", "29%"},
+            {"Profit-Loss Ratio", "0.60"},
+            {"Alpha", "-0.038"},
+            {"Beta", "0.078"},
+            {"Annual Standard Deviation", "0.019"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-2.24"},
+            {"Tracking Error", "0.092"},
+            {"Treynor Ratio", "-0.312"},
+            {"Total Fees", "$18.92"},
+            {"Estimated Strategy Capacity", "$96000000.00"},
+            {"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.80%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "34eff097cfac686aedf205bc2eaab4d4"}
+        };
+    }
+}