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
@@ -0,0 +1,100 @@
+/*
+ * 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.Linq;
+using Deedle;
+using QuantConnect.Data;
+using QuantConnect.Packets;
+
+namespace QuantConnect.Report.ReportElements
+{
+    internal sealed class PSRReportElement : ReportElement
+    {
+        private LiveResult _live;
+        private BacktestResult _backtest;
+
+        /// <summary>
+        /// The number of trading days per year to get better result of statistics
+        /// </summary>
+        private int _tradingDaysPerYear;
+
+        /// <summary>
+        /// Estimate the PSR of the strategy.
+        /// </summary>
+        /// <param name="name">Name of the widget</param>
+        /// <param name="key">Location of injection</param>
+        /// <param name="backtest">Backtest result object</param>
+        /// <param name="live">Live result object</param>
+        /// <param name="tradingDaysPerYear">The number of trading days per year to get better result of statistics</param>
+        public PSRReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
+        {
+            _live = live;
+            _backtest = backtest;
+            Name = name;
+            Key = key;
+            _tradingDaysPerYear = tradingDaysPerYear;
+        }
+
+        /// <summary>
+        /// The generated output string to be injected
+        /// </summary>
+        public override string Render()
+        {
+            decimal? psr;
+            if (_live == null)
+            {
+                psr = _backtest?.TotalPerformance?.PortfolioStatistics?.ProbabilisticSharpeRatio;
+                Result = psr;
+                if (psr == null)
+                {
+                    return "-";
+                }
+                
+                return $"{psr:P0}";
+            }
+
+            var equityCurvePerformance = DrawdownCollection.NormalizeResults(_backtest, _live)
+                .ResampleEquivalence(date => date.Date, s => s.LastValue())
+                .PercentChange();
+
+            if (equityCurvePerformance.IsEmpty || equityCurvePerformance.KeyCount < 180)
+            {
+                return "-";
+            }
+
+            var sixMonthsBefore = equityCurvePerformance.LastKey() - TimeSpan.FromDays(180);
+            // Skip weekends so we stay on a trading-day basis. The risk-free rate below is deannualized by
+            // tradingDaysPerYear, so leaving calendar days in would deduct it over ~365 days a year and over-deduct the rate
+            var lastSixMonthsPerformance = equityCurvePerformance.Where(kvp => kvp.Key >= sixMonthsBefore
+                && kvp.Key.DayOfWeek != DayOfWeek.Saturday
+                && kvp.Key.DayOfWeek != DayOfWeek.Sunday);
+
+            var benchmarkSharpeRatio = 1.0d / Math.Sqrt(_tradingDaysPerYear);
+            // Use the same excess-return basis as the reported PSR by subtracting the deannualized risk-free rate
+            var riskFreeRate = new InterestRateProvider().GetAverageRiskFreeRate(lastSixMonthsPerformance.Keys);
+            psr = Statistics.Statistics.ProbabilisticSharpeRatio(
+                lastSixMonthsPerformance
+                    .Values
+                    .ToList(),
+                benchmarkSharpeRatio,
+                (double)riskFreeRate / _tradingDaysPerYear)
+                .SafeDecimalCast();
+            
+            Result = psr;
+            return $"{psr:P0}";
+        }
+    }
+}