Martin Molinero
54 lines
2.4 KiB
Python
54 lines
2.4 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.Algorithm")
|
|
AddReference("QuantConnect.Algorithm.Framework")
|
|
AddReference("QuantConnect.Common")
|
|
|
|
from System import *
|
|
from QuantConnect import *
|
|
from QuantConnect.Orders import *
|
|
from QuantConnect.Algorithm import *
|
|
from QuantConnect.Algorithm.Framework import *
|
|
from QuantConnect.Algorithm.Framework.Alphas import *
|
|
from QuantConnect.Algorithm.Framework.Execution import *
|
|
from QuantConnect.Algorithm.Framework.Portfolio import *
|
|
from QuantConnect.Algorithm.Framework.Selection import *
|
|
from Risk.TrailingStopRiskManagementModel import TrailingStopRiskManagementModel
|
|
from datetime import timedelta
|
|
|
|
|
|
class TrailingStopRiskFrameworkAlgorithm(QCAlgorithm):
|
|
'''Show example of how to use the TrailingStopRiskManagementModel'''
|
|
|
|
def Initialize(self):
|
|
|
|
# Set requested data resolution
|
|
self.UniverseSettings.Resolution = Resolution.Minute
|
|
|
|
self.SetStartDate(2013,10,7) #Set Start Date
|
|
self.SetEndDate(2013,10,11) #Set End Date
|
|
self.SetCash(100000) #Set Strategy Cash
|
|
|
|
# set algorithm framework models
|
|
self.SetUniverseSelection(ManualUniverseSelectionModel([ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]))
|
|
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
|
|
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
|
|
self.SetExecution(ImmediateExecutionModel())
|
|
self.SetRiskManagement(TrailingStopRiskManagementModel(0.01))
|
|
|
|
def OnOrderEvent(self, orderEvent):
|
|
if orderEvent.Status == OrderStatus.Filled:
|
|
self.Debug(f'Processed Order: {orderEvent.Symbol}, Quantity: {orderEvent.FillQuantity}') |