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.Portfolio;
+using QuantConnect.Data;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing GH feature 3790, using SetHoldings with a collection of targets
+    /// which will be ordered by margin impact before being executed, with the objective of avoiding any
+    /// margin errors
+    /// Asserts that liquidateExistingHoldings equal false does not close positions inadvertedly (GH 7008) 
+    /// </summary>
+    public class SetHoldingsLiquidateExistingHoldingsMultipleTargetsRegressionAlgorithm : SetHoldingsMultipleTargetsRegressionAlgorithm
+    {
+        public override void OnData(Slice data)
+        {
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(new List<PortfolioTarget> { new("SPY", 0.8m), new("IBM", 0.2m) },
+                    liquidateExistingHoldings: true);
+            }
+        }
+
+        /// <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", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "300.863%"},
+            {"Drawdown", "2.100%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "101791.04"},
+            {"Net Profit", "1.791%"},
+            {"Sharpe Ratio", "9.746"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "67.155%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0.21"},
+            {"Beta", "0.995"},
+            {"Annual Standard Deviation", "0.223"},
+            {"Annual Variance", "0.05"},
+            {"Information Ratio", "7.104"},
+            {"Tracking Error", "0.028"},
+            {"Treynor Ratio", "2.186"},
+            {"Total Fees", "$3.76"},
+            {"Estimated Strategy Capacity", "$40000000.00"},
+            {"Lowest Capacity Asset", "IBM R735QTJ8XC9X"},
+            {"Portfolio Turnover", "19.93%"},
+            {"Drawdown Recovery", "3"},
+            {"OrderListHash", "b56516b18612ece304dfd566f8b2e2f6"}
+        };
+    }
+}