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.
+
+from AlgorithmImports import *
+
+# <summary>
+# Regression algorithm to test the behaviour of ARMA versus AR models at the same order of differencing.
+# In particular, an ARIMA(1,1,1) and ARIMA(1,1,0) are instantiated while orders are placed if their difference
+# is sufficiently large (which would be due to the inclusion of the MA(1) term).
+# </summary>
+class AutoRegressiveIntegratedMovingAverageRegressionAlgorithm(QCAlgorithm):
+    def initialize(self) -> None:
+        '''Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
+        self.set_start_date(2013, 1, 7)
+        self.set_end_date(2013, 12, 11)
+        self.settings.automatic_indicator_warm_up = True
+        self.add_equity("SPY", Resolution.DAILY)
+        self._arima = self.arima("SPY", 1, 1, 1, 50)
+        self._ar = self.arima("SPY", 1, 1, 0, 50)
+        self._last = None
+
+    def on_data(self, data: Slice) -> None:
+        '''OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
+
+        Arguments:
+            data: Slice object keyed by symbol containing the stock data
+        '''
+        if self._arima.is_ready:
+            if abs(self._arima.current.value - self._ar.current.value) > 1:
+                if self._arima.current.value > self._last:
+                    self.market_order("SPY", 1)
+                else:
+                    self.market_order("SPY", -1)
+            self._last = self._arima.current.value