Martin Molinero
52 lines
2.3 KiB
Python
52 lines
2.3 KiB
Python
# 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 clr import AddReference
|
|
AddReference("System")
|
|
AddReference("QuantConnect.Common")
|
|
AddReference("QuantConnect.Algorithm")
|
|
AddReference("QuantConnect.Algorithm.Framework")
|
|
|
|
from QuantConnect import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import PortfolioTarget
|
|
from QuantConnect.Algorithm.Framework.Risk import RiskManagementModel
|
|
|
|
class MaximumUnrealizedProfitPercentPerSecurity(RiskManagementModel):
|
|
'''Provides an implementation of IRiskManagementModel that limits the unrealized profit per holding to the specified percentage'''
|
|
|
|
def __init__(self, maximumUnrealizedProfitPercent = 0.05):
|
|
'''Initializes a new instance of the MaximumUnrealizedProfitPercentPerSecurity class
|
|
Args:
|
|
maximumUnrealizedProfitPercent: The maximum percentage unrealized profit allowed for any single security holding, defaults to 5% drawdown per security'''
|
|
self.maximumUnrealizedProfitPercent = abs(maximumUnrealizedProfitPercent)
|
|
|
|
def ManageRisk(self, algorithm, targets):
|
|
'''Manages the algorithm's risk at each time step
|
|
Args:
|
|
algorithm: The algorithm instance
|
|
targets: The current portfolio targets to be assessed for risk'''
|
|
targets = []
|
|
for kvp in algorithm.Securities:
|
|
security = kvp.Value
|
|
|
|
if not security.Invested:
|
|
continue
|
|
|
|
pnl = security.Holdings.UnrealizedProfitPercent
|
|
if pnl > self.maximumUnrealizedProfitPercent:
|
|
# liquidate
|
|
targets.append(PortfolioTarget(security.Symbol, 0))
|
|
|
|
return targets |