Martin-Molinero
03f56481d4
Regression Tests / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* Python research import improvements - Improve start.py for research env - Remove unrequired imports * Centralize algorithm imports * Add regression test GH action * Unit test python import clean up * Join research and main imports * More python import clean up * Fix failing skipped regression algorithm
45 lines
2.1 KiB
Python
45 lines
2.1 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 AlgorithmImports import *
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### <summary>
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### Test algorithm using 'QCAlgorithm.AddRiskManagement(IRiskManagementModel)'
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### </summary>
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class AddRiskManagementAlgorithm(QCAlgorithm):
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'''Basic template framework algorithm uses framework components to define the algorithm.'''
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def Initialize(self):
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''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
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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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symbols = [ Symbol.Create("SPY", SecurityType.Equity, Market.USA) ]
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# set algorithm framework models
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self.SetUniverseSelection(ManualUniverseSelectionModel(symbols))
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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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# Both setting methods should work
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riskModel = CompositeRiskManagementModel(MaximumDrawdownPercentPortfolio(0.02))
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riskModel.AddRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.01))
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self.SetRiskManagement(MaximumDrawdownPercentPortfolio(0.02))
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self.AddRiskManagement(MaximumUnrealizedProfitPercentPerSecurity(0.01))
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