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 *
+from Alphas.PearsonCorrelationPairsTradingAlphaModel import PearsonCorrelationPairsTradingAlphaModel
+
+### <summary>
+### Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
+### This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
+### to rank the pairs trading candidates and use the best candidate to trade.
+### </summary>
+class PearsonCorrelationPairsTradingAlphaModelFrameworkAlgorithm(QCAlgorithm):
+    '''Framework algorithm that uses the PearsonCorrelationPairsTradingAlphaModel.
+    This model extendes BasePairsTradingAlphaModel and uses Pearson correlation
+    to rank the pairs trading candidates and use the best candidate to trade.'''
+
+    def initialize(self):
+
+        self.set_start_date(2013,10,7)
+        self.set_end_date(2013,10,11)
+
+        symbols = [Symbol.create(ticker, SecurityType.EQUITY, Market.USA)
+            for ticker in ["SPY", "AIG", "BAC", "IBM"]]
+
+        # Manually add SPY and AIG when the algorithm starts
+        self.set_universe_selection(ManualUniverseSelectionModel(symbols[:2]))
+
+        # At midnight, add all securities every day except on the last data
+        # With this procedure, the Alpha Model will experience multiple universe changes
+        self.add_universe_selection(ScheduledUniverseSelectionModel(
+            self.date_rules.every_day(), self.time_rules.midnight,
+            lambda dt: symbols if dt.day <= (self.end_date - timedelta(1)).day else []))
+
+        self.set_alpha(PearsonCorrelationPairsTradingAlphaModel(252, Resolution.DAILY))
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
+        self.set_execution(ImmediateExecutionModel())
+        self.set_risk_management(NullRiskManagementModel())
+
+    def on_end_of_algorithm(self) -> None:
+        # We have removed all securities from the universe. The Alpha Model should remove the consolidator
+        consolidator_count = sum(s.consolidators.count for s in self.subscription_manager.subscriptions)
+        if consolidator_count > 0:
+            raise AssertionError(f"The number of consolidator should be zero. Actual: {consolidator_count}")