AlexCatarino
5389f9bf8b
- Implements python version of `MaximumDrawdownPercentPortfolio` - Implements python version of `MaximumPortfolioDrawdownFrameworkAlgorithm`
58 lines
2.6 KiB
Python
58 lines
2.6 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.Algorithm")
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AddReference("QuantConnect.Algorithm.Framework")
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AddReference("QuantConnect.Common")
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from System import *
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from QuantConnect import *
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from QuantConnect.Orders 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.Alphas import *
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from QuantConnect.Algorithm.Framework.Execution import *
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from QuantConnect.Algorithm.Framework.Portfolio import *
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from QuantConnect.Algorithm.Framework.Selection import *
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from Risk.CompositeRiskManagementModel import CompositeRiskManagementModel
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from Risk.MaximumDrawdownPercentPortfolio import MaximumDrawdownPercentPortfolio
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from datetime import timedelta
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import numpy as np
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class MaximumPortfolioDrawdownFrameworkAlgorithm(QCAlgorithmFramework):
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'''Show example of how to use the MaximumDrawdownPercentPortfolio Risk Management Model'''
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def Initialize(self):
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# Set requested data resolution
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self.UniverseSettings.Resolution = Resolution.Minute
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self.SetStartDate(2013,10,7) #Set Start Date
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self.SetEndDate(2013,10,11) #Set End Date
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self.SetCash(100000) #Set Strategy Cash
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# set algorithm framework models
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self.SetUniverseSelection(ManualUniverseSelectionModel([ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]))
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self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, timedelta(minutes = 20), 0.025, None))
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self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
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self.SetExecution(ImmediateExecutionModel())
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# define risk management model as a composite of several risk management models
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self.SetRiskManagement(CompositeRiskManagementModel(
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MaximumDrawdownPercentPortfolio(0.01), # Avoid loss of initial capital
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MaximumDrawdownPercentPortfolio(0.015, True) # Avoid profit losses
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))
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