Louis Szeto
6d75aee0ce
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44 lines
2.0 KiB
Python
44 lines
2.0 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 BaseFrameworkRegressionAlgorithm import BaseFrameworkRegressionAlgorithm
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from Risk.MaximumSectorExposureRiskManagementModel import MaximumSectorExposureRiskManagementModel
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### <summary>
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### Regression algorithm to assert the behavior of <see cref="MaximumSectorExposureRiskManagementModel"/>.
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### </summary>
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class MaximumSectorExposureRiskManagementModelFrameworkRegressionAlgorithm(BaseFrameworkRegressionAlgorithm):
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def Initialize(self):
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super().Initialize()
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# Set requested data resolution
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self.UniverseSettings.Resolution = Resolution.Daily
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self.SetStartDate(2014, 2, 1) #Set Start Date
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self.SetEndDate(2014, 5, 1) #Set End Date
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# set algorithm framework models
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tickers = [ "AAPL", "MSFT", "GOOG", "AIG", "BAC" ]
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self.SetUniverseSelection(FineFundamentalUniverseSelectionModel(
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lambda coarse: [ x.Symbol for x in coarse if x.Symbol.Value in tickers ],
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lambda fine: [ x.Symbol for x in fine ]
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))
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# define risk management model such that maximum weight of a single sector be 10%
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# Number of of trades changed from 34 to 30 when using the MaximumSectorExposureRiskManagementModel
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self.SetRiskManagement(MaximumSectorExposureRiskManagementModel(0.1))
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def OnEndOfAlgorithm(self):
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pass
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