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
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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;
+using System.Linq;
+using Python.Runtime;
+using QuantConnect.Packets;
+using System.Collections.Generic;
+using QuantConnect.Lean.Engine.Results;
+
+namespace QuantConnect.Report.ReportElements
+{
+    internal sealed class RollingPortfolioBetaReportElement : ChartReportElement
+    {
+        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>
+        /// Create a new plot of the rolling portfolio beta to equities
+        /// </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 RollingPortfolioBetaReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
+        {
+            _live = live;
+            _backtest = backtest;
+            Name = name;
+            Key = key;
+            _tradingDaysPerYear = tradingDaysPerYear;
+        }
+
+        /// <summary>
+        /// Generate the rolling portfolio beta to equities plot using the python libraries.
+        /// </summary>
+        public override string Render()
+        {
+            var backtestPoints = GetReturnSeries(_backtest);
+            var backtestBenchmarkPoints = ResultsUtil.BenchmarkPoints(_backtest);
+            var livePoints = GetReturnSeries(_live);
+            var liveBenchmarkPoints = ResultsUtil.BenchmarkPoints(_live);
+
+            var base64 = "";
+            using (Py.GIL())
+            {
+                var backtestList = new PyList();
+                var liveList = new PyList();
+
+                var backtestRollingBetaSixMonths = Rolling.Beta(backtestPoints, backtestBenchmarkPoints, windowSize: 22 * 6);
+                var backtestRollingBetaTwelveMonths = Rolling.Beta(backtestPoints, backtestBenchmarkPoints, windowSize: _tradingDaysPerYear);
+
+                backtestList.Append(backtestRollingBetaSixMonths.Keys.ToList().ToPython());
+                backtestList.Append(backtestRollingBetaSixMonths.Values.ToList().ToPython());
+                backtestList.Append(backtestRollingBetaTwelveMonths.Keys.ToList().ToPython());
+                backtestList.Append(backtestRollingBetaTwelveMonths.Values.ToList().ToPython());
+
+                var liveRollingBetaSixMonths = Rolling.Beta(livePoints, liveBenchmarkPoints, windowSize: 22 * 6);
+                var liveRollingBetaTwelveMonths = Rolling.Beta(livePoints, liveBenchmarkPoints, windowSize: _tradingDaysPerYear);
+
+                liveList.Append(liveRollingBetaSixMonths.Keys.ToList().ToPython());
+                liveList.Append(liveRollingBetaSixMonths.Values.ToList().ToPython());
+                liveList.Append(liveRollingBetaTwelveMonths.Keys.ToList().ToPython());
+                liveList.Append(liveRollingBetaTwelveMonths.Values.ToList().ToPython());
+
+                base64 = Charting.GetRollingBeta(backtestList, liveList);
+            }
+
+            return base64;
+        }
+
+        private static SortedList<DateTime, double> GetReturnSeries(Result leanResult)
+        {
+            var returnSeries = ResultsUtil.EquityPoints(leanResult, BaseResultsHandler.ReturnKey);
+            if (returnSeries == null || returnSeries.Count == 0)
+            {
+                // for backwards compatibility
+                returnSeries = ResultsUtil.EquityPoints(leanResult, "Daily Performance");
+            }
+            return returnSeries;
+        }
+    }
+}