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 +1,131 @@
+/*
+ * 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.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Parameters;
+using QuantConnect.Interfaces;
+using QuantConnect.Data;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Demonstration of the parameter system of QuantConnect. Using parameters you can pass the values required into C# algorithms for optimization.
+    /// </summary>
+    /// <meta name="tag" content="optimization" />
+    /// <meta name="tag" content="using quantconnect" />
+    public class ParameterizedAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        // We place attributes on top of our fields or properties that should receive
+        // their values from the job. The values 100 and 200 are just default values that
+        // are only used if the parameters do not exist.
+        [Parameter("ema-fast")]
+        private int _fastPeriod = 100;
+
+        [Parameter("ema-slow")]
+        private int _slowPeriod = 200;
+
+        private ExponentialMovingAverage _fast;
+        private ExponentialMovingAverage _slow;
+
+        public override void Initialize()
+        {
+            SetStartDate(2013, 10, 07);
+            SetEndDate(2013, 10, 11);
+            SetCash(100*1000);
+
+            AddSecurity(SecurityType.Equity, "SPY");
+
+            _fast = EMA("SPY", _fastPeriod);
+            _slow = EMA("SPY", _slowPeriod);
+        }
+
+        public override void OnData(Slice data)
+        {
+            // wait for our indicators to ready
+            if (!_fast.IsReady || !_slow.IsReady) return;
+
+            if (_fast > _slow*1.001m)
+            {
+                SetHoldings("SPY", 1);
+            }
+            else if (_fast < _slow*0.999m)
+            {
+                Liquidate("SPY");
+            }
+        }
+
+        /// <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, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 3943;
+
+        /// <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", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "286.047%"},
+            {"Drawdown", "0.300%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101742.04"},
+            {"Net Profit", "1.742%"},
+            {"Sharpe Ratio", "23.023"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "1.266"},
+            {"Beta", "0.356"},
+            {"Annual Standard Deviation", "0.086"},
+            {"Annual Variance", "0.007"},
+            {"Information Ratio", "-0.044"},
+            {"Tracking Error", "0.147"},
+            {"Treynor Ratio", "5.531"},
+            {"Total Fees", "$3.45"},
+            {"Estimated Strategy Capacity", "$48000000.00"},
+            {"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.72%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "1fd15c0ef2042df5cd6e6d590000318e"}
+        };
+    }
+}