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 Deedle;
+using QuantConnect.Data;
+using QuantConnect.Packets;
+using System;
+using System.Collections.Generic;
+using System.Globalization;
+using System.Linq;
+
+namespace QuantConnect.Report.ReportElements
+{
+    /// <summary>
+    /// Class for render the Sharpe Ratio statistic for a report
+    /// </summary>
+    public class SharpeRatioReportElement : ReportElement
+    {
+        /// <summary>
+        /// The number of trading days per year to get better result of statistics
+        /// </summary>
+        private double _tradingDaysPerYear;
+
+        /// <summary>
+        /// Live result object
+        /// </summary>
+        protected LiveResult LiveResult { get; }
+
+        /// <summary>
+        /// Backtest result object
+        /// </summary>
+        protected BacktestResult BacktestResult { get; }
+
+        /// <summary>
+        /// Sharpe Ratio from a backtest
+        /// </summary>
+        public virtual decimal? BacktestResultValue => BacktestResult?.TotalPerformance?.PortfolioStatistics?.SharpeRatio;
+
+        /// <summary>
+        /// Estimate the sharpe ratio 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 SharpeRatioReportElement(string name, string key, BacktestResult backtest, LiveResult live, int tradingDaysPerYear)
+        {
+            LiveResult = live;
+            BacktestResult = backtest;
+            Name = name;
+            Key = key;
+            _tradingDaysPerYear = Convert.ToDouble(tradingDaysPerYear, CultureInfo.InvariantCulture);
+        }
+
+        /// <summary>
+        /// The generated output string to be injected
+        /// </summary>
+        public override string Render()
+        {
+            if (LiveResult == null)
+            {
+                Result = BacktestResultValue;
+                return BacktestResultValue?.ToString("F1") ?? "-";
+            }
+
+            var equityPoints = ResultsUtil.EquityPoints(LiveResult);
+            var performance = DeedleUtil.PercentChange(new Series<DateTime, double>(equityPoints).ResampleEquivalence(date => date.Date, s => s.LastValue()));
+            if (performance.ValueCount == 0)
+            {
+                return "-";
+            }
+
+            var sixMonthsAgo = performance.LastKey().AddDays(-180);
+            var trailingSeries = performance.Where(series => series.Key >= sixMonthsAgo && series.Key.DayOfWeek != DayOfWeek.Saturday && series.Key.DayOfWeek != DayOfWeek.Sunday);
+            var trailingPerformance = trailingSeries
+                .Values
+                .ToList();
+
+            var annualStandardDeviation = trailingPerformance.Count < 7 ? 0 : GetAnnualStandardDeviation(trailingPerformance, _tradingDaysPerYear);
+            if (annualStandardDeviation <= 0)
+            {
+                return "-";
+            }
+
+            // Use excess returns to stay consistent with the reported PSR and backtest Sharpe ratio
+            var riskFreeRate = new InterestRateProvider().GetAverageRiskFreeRate(trailingSeries.Keys);
+            var annualPerformance = Statistics.Statistics.AnnualPerformance(trailingPerformance, _tradingDaysPerYear);
+            var liveResultValue = Statistics.Statistics.SharpeRatio(annualPerformance, annualStandardDeviation, (double)riskFreeRate);
+            Result = liveResultValue;
+            return liveResultValue.ToString("F2");
+        }
+
+        /// <summary>
+        /// Get annual standard deviation
+        /// </summary>
+        /// <param name="trailingPerformance">The performance for the last period</param>
+        /// <param name="tradingDaysPerYear">The number of trading days per year to get better result of statistics</param>
+        /// <returns>Annual standard deviation.</returns>
+        public virtual double GetAnnualStandardDeviation(List<double> trailingPerformance, double tradingDaysPerYear)
+        {
+            return Statistics.Statistics.AnnualStandardDeviation(trailingPerformance, tradingDaysPerYear);
+        }
+    }
+}