David
79 lines
3.4 KiB
C#
79 lines
3.4 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System.Collections.Generic;
|
|
using QuantConnect.Algorithm.Framework;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
using QuantConnect.Algorithm.Framework.Execution;
|
|
using QuantConnect.Algorithm.Framework.Portfolio;
|
|
using QuantConnect.Algorithm.Framework.Risk;
|
|
using QuantConnect.Algorithm.Framework.Selection;
|
|
using QuantConnect.Interfaces;
|
|
|
|
namespace QuantConnect.Algorithm.CSharp
|
|
{
|
|
/// <summary>
|
|
/// Show cases how to use the <see cref="CompositeRiskManagementModel"/> to define
|
|
/// </summary>
|
|
public class MaximumPortfolioDrawdownFrameworkAlgorithm : QCAlgorithmFramework, IRegressionAlgorithmDefinition
|
|
{
|
|
public override void Initialize()
|
|
{
|
|
// Set requested data resolution
|
|
UniverseSettings.Resolution = Resolution.Minute;
|
|
|
|
SetStartDate(2013, 10, 07); //Set Start Date
|
|
SetEndDate(2013, 10, 11); //Set End Date
|
|
SetCash(100000); //Set Strategy Cash
|
|
|
|
// set algorithm framework models
|
|
SetUniverseSelection(new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA)));
|
|
SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, System.TimeSpan.FromMinutes(20), 0.025, null));
|
|
SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel());
|
|
SetExecution(new ImmediateExecutionModel());
|
|
|
|
// define risk management model as a composite of several risk management models
|
|
SetRiskManagement(new CompositeRiskManagementModel(
|
|
new MaximumDrawdownPercentPortfolio(0.01m)
|
|
));
|
|
}
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
|
/// </summary>
|
|
public bool CanRunLocally { get; } = true;
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
|
/// </summary>
|
|
public Language[] Languages { get; } = { Language.CSharp };
|
|
|
|
/// <summary>
|
|
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
|
/// </summary>
|
|
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
|
{
|
|
{"Total Trades", "2"},
|
|
{"Compounding Annual Return", "-90.716%"},
|
|
{"Drawdown", "1.600%"},
|
|
{"Expectancy", "-1"},
|
|
{"Net Profit", "-1.030%"},
|
|
{"Loss Rate", "100%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
};
|
|
}
|
|
}
|