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 QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression Channel algorithm simply initializes the date range and cash
+    /// </summary>
+    /// <meta name="tag" content="indicators" />
+    /// <meta name="tag" content="indicator classes" />
+    /// <meta name="tag" content="placing orders" />
+    /// <meta name="tag" content="plotting indicators" />
+    public class RegressionChannelAlgorithm : QCAlgorithm
+    {
+        private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);
+        private SecurityHolding _holdings;
+        private RegressionChannel _rc;
+
+        /// <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()
+        {
+            SetStartDate(2009, 1, 1);  //Set Start Date
+            SetEndDate(2015, 1, 1);    //Set End Date
+            SetCash(100000);           //Set Strategy Cash
+            // Find more symbols here: http://quantconnect.com/data
+            var equity = AddEquity(_spy, Resolution.Minute);
+            _holdings = equity.Holdings;
+            _rc = RC(_spy, 30, 2, Resolution.Daily);
+
+            var stockPlot = new Chart("Trade Plot");
+            stockPlot.AddSeries(new Series("Buy", SeriesType.Scatter, 0));
+            stockPlot.AddSeries(new Series("Sell", SeriesType.Scatter, 0));
+            stockPlot.AddSeries(new Series("UpperChannel", SeriesType.Line, 0));
+            stockPlot.AddSeries(new Series("LowerChannel", SeriesType.Line, 0));
+            stockPlot.AddSeries(new Series("Regression", SeriesType.Line, 0));
+            AddChart(stockPlot);
+        }
+
+        /// <summary>
+        /// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+        /// </summary>
+        /// <param name="data">Slice object keyed by symbol containing the stock data</param>
+        public void OnData(TradeBars data)
+        {
+            if (!_rc.IsReady || !data.ContainsKey(_spy)) return;
+            var value = data[_spy].Value;
+
+            if (_holdings.Quantity <= 0 && value < _rc.LowerChannel)
+            {
+                SetHoldings(_spy, 1);
+                Plot("Trade Plot", "Buy", value);
+            }
+
+            if (_holdings.Quantity >= 0 && value > _rc.UpperChannel)
+            {
+                SetHoldings(_spy, -1);
+                Plot("Trade Plot", "Sell", value);
+            }
+        }
+
+        public override void OnEndOfDay(Symbol symbol)
+        {
+            if (symbol == _spy)
+            {
+                Plot("Trade Plot", "UpperChannel", _rc.UpperChannel);
+                Plot("Trade Plot", "LowerChannel", _rc.LowerChannel);
+                Plot("Trade Plot", "Regression", _rc.LinearRegression);
+            }
+        }
+    }
+}