Louis Szeto
6d5f5dce58
* pep8 conversion * PEP8 updates/fixes * Minor update --------- Co-authored-by: Jhonathan Abreu <jdabreu25@gmail.com>
45 lines
2.2 KiB
Python
45 lines
2.2 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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from Risk.CompositeRiskManagementModel import CompositeRiskManagementModel
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from Risk.MaximumUnrealizedProfitPercentPerSecurity import MaximumUnrealizedProfitPercentPerSecurity
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from Risk.MaximumDrawdownPercentPerSecurity import MaximumDrawdownPercentPerSecurity
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### <summary>
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### Show cases how to use the CompositeRiskManagementModel.
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### </summary>
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class CompositeRiskManagementModelFrameworkAlgorithm(QCAlgorithm):
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'''Show cases how to use the CompositeRiskManagementModel.'''
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def initialize(self):
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# Set requested data resolution
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self.universe_settings.resolution = Resolution.MINUTE
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self.set_start_date(2013,10,7) #Set Start Date
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self.set_end_date(2013,10,11) #Set End Date
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self.set_cash(100000) #Set Strategy Cash
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# set algorithm framework models
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self.set_universe_selection(ManualUniverseSelectionModel([Symbol.create("SPY", SecurityType.EQUITY, Market.USA)]))
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self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
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self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
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self.set_execution(ImmediateExecutionModel())
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# define risk management model as a composite of several risk management models
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self.set_risk_management(CompositeRiskManagementModel(
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MaximumUnrealizedProfitPercentPerSecurity(0.01),
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MaximumDrawdownPercentPerSecurity(0.01)
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))
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