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;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Orders;
+using QuantConnect.Interfaces;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing portfolio construction model control over rebalancing,
+    /// specifying a date rules, see GH 4075.
+    /// </summary>
+    public class PortfolioRebalanceOnDateRulesRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        /// <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()
+        {
+            UniverseSettings.Resolution = Resolution.Daily;
+
+            // Order margin value has to have a minimum of 0.5% of Portfolio value, allows filtering out small trades and reduce fees.
+            // Commented so regression algorithm is more sensitive
+            //Settings.MinimumOrderMarginPortfolioPercentage = 0.005m;
+
+            // let's use 0 minimum order margin percentage so we can assert trades are only submitted immediately after rebalance on Wednesday
+            // if not, due to TPV variations happening every day we might no cross the minimum on wednesday but yes another day of the week
+            Settings.MinimumOrderMarginPortfolioPercentage = 0m;
+
+            SetStartDate(2015, 1, 1);
+            SetEndDate(2017, 1, 1);
+
+            Settings.RebalancePortfolioOnInsightChanges = false;
+            Settings.RebalancePortfolioOnSecurityChanges = false;
+
+            SetUniverseSelection(new CustomUniverseSelectionModel(
+                "CustomUniverseSelectionModel",
+                time => new List<string> { "AAPL", "IBM", "FB", "SPY" }
+            ));
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(DateRules.Every(DayOfWeek.Wednesday)));
+            SetExecution(new ImmediateExecutionModel());
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Submitted)
+            {
+                Debug($"{orderEvent}");
+                if (UtcTime.DayOfWeek != DayOfWeek.Wednesday)
+                {
+                    throw new RegressionTestException($"{UtcTime} {orderEvent.Symbol} {UtcTime.DayOfWeek}");
+                }
+            }
+        }
+
+        /// <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 => 6072;
+
+        /// <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", "346"},
+            {"Average Win", "0.06%"},
+            {"Average Loss", "-0.03%"},
+            {"Compounding Annual Return", "10.796%"},
+            {"Drawdown", "18.300%"},
+            {"Expectancy", "1.277"},
+            {"Start Equity", "100000"},
+            {"End Equity", "122745.47"},
+            {"Net Profit", "22.745%"},
+            {"Sharpe Ratio", "0.535"},
+            {"Sortino Ratio", "0.625"},
+            {"Probabilistic Sharpe Ratio", "20.369%"},
+            {"Loss Rate", "24%"},
+            {"Win Rate", "76%"},
+            {"Profit-Loss Ratio", "1.98"},
+            {"Alpha", "0.031"},
+            {"Beta", "1.015"},
+            {"Annual Standard Deviation", "0.14"},
+            {"Annual Variance", "0.02"},
+            {"Information Ratio", "0.448"},
+            {"Tracking Error", "0.072"},
+            {"Treynor Ratio", "0.074"},
+            {"Total Fees", "$350.77"},
+            {"Estimated Strategy Capacity", "$91000000.00"},
+            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
+            {"Portfolio Turnover", "0.31%"},
+            {"Drawdown Recovery", "365"},
+            {"OrderListHash", "1da61b0a1129e5eab9bc36bd9dae6f40"}
+        };
+    }
+}