Martin Molinero
70 lines
3.0 KiB
Python
70 lines
3.0 KiB
Python
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from clr import AddReference
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AddReference("System")
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AddReference("QuantConnect.Common")
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AddReference("QuantConnect.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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from QuantConnect import *
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from QuantConnect.Algorithm import *
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from QuantConnect.Algorithm.Framework import *
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from QuantConnect.Algorithm.Framework.Portfolio import PortfolioTarget
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from QuantConnect.Algorithm.Framework.Risk import RiskManagementModel
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class TrailingStopRiskManagementModel(RiskManagementModel):
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'''Provides an implementation of IRiskManagementModel that limits the maximum possible loss
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measured from the highest unrealized profit'''
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def __init__(self, maximumDrawdownPercent = 0.05):
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'''Initializes a new instance of the TrailingStopRiskManagementModel class
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Args:
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maximumDrawdownPercent: The maximum percentage drawdown allowed for algorithm portfolio compared with the highest unrealized profit, defaults to 5% drawdown'''
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self.maximumDrawdownPercent = -abs(maximumDrawdownPercent)
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self.trailingHighs = dict()
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def ManageRisk(self, algorithm, targets):
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'''Manages the algorithm's risk at each time step
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Args:
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algorithm: The algorithm instance
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targets: The current portfolio targets to be assessed for risk'''
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riskAdjustedTargets = list()
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for kvp in algorithm.Securities:
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symbol = kvp.Key
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security = kvp.Value
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# Remove if not invested
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if not security.Invested:
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self.trailingHighs.pop(symbol, None)
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continue
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# Add newly invested securities
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if symbol not in self.trailingHighs:
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self.trailingHighs[symbol] = security.Holdings.AveragePrice # Set to average holding cost
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continue
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# Check for new highs and update - set to tradebar high
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if self.trailingHighs[symbol] < security.High:
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self.trailingHighs[symbol] = security.High
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continue
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# Check for securities past the drawdown limit
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securityHigh = self.trailingHighs[symbol]
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drawdown = (security.Low / securityHigh) - 1
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if drawdown < self.maximumDrawdownPercent:
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# liquidate
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riskAdjustedTargets.append(PortfolioTarget(symbol, 0))
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return riskAdjustedTargets |