Derek Melchin
0fa2ea19bc
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* Fix trailing stop reset * Add regression algorithm
30 lines
1.2 KiB
Python
30 lines
1.2 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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### Regression algorithm which tests that a trailing stop liquidates and restarts correctly
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### </summary>
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class TrailingStopRiskFrameworkRegressionAlgorithm(QCAlgorithm):
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def Initialize(self):
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self.SetStartDate(2014, 6, 5)
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self.SetEndDate(2014, 6, 9)
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self.SetCash(100000)
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self.AddEquity("AAPL")
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self.AddRiskManagement(TrailingStopRiskManagementModel(0.01))
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def OnData(self, data):
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if not self.Portfolio.Invested:
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self.SetHoldings("AAPL", 1)
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