Louis Szeto
279a306758
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* Update risk model to cancel insight * Updates Regression Tests --------- Co-authored-by: Alexandre Catarino <AlexCatarino@users.noreply.github.com>
74 lines
3.7 KiB
Python
74 lines
3.7 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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class TrailingStopRiskManagementModel(RiskManagementModel):
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'''Provides an implementation of IRiskManagementModel that limits the maximum possible loss
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measured from the highest unrealized profit'''
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def __init__(self, maximumDrawdownPercent = 0.05):
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'''Initializes a new instance of the TrailingStopRiskManagementModel class
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Args:
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maximumDrawdownPercent: The maximum percentage drawdown allowed for algorithm portfolio compared with the highest unrealized profit, defaults to 5% drawdown'''
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self.maximumDrawdownPercent = abs(maximumDrawdownPercent)
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self.trailingAbsoluteHoldingsState = dict()
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def ManageRisk(self, algorithm, targets):
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'''Manages the algorithm's risk at each time step
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Args:
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algorithm: The algorithm instance
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targets: The current portfolio targets to be assessed for risk'''
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riskAdjustedTargets = list()
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for kvp in algorithm.Securities:
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symbol = kvp.Key
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security = kvp.Value
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# Remove if not invested
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if not security.Invested:
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self.trailingAbsoluteHoldingsState.pop(symbol, None)
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continue
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position = PositionSide.Long if security.Holdings.IsLong else PositionSide.Short
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absoluteHoldingsValue = security.Holdings.AbsoluteHoldingsValue
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trailingAbsoluteHoldingsState = self.trailingAbsoluteHoldingsState.get(symbol)
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# Add newly invested security (if doesn't exist) or reset holdings state (if position changed)
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if trailingAbsoluteHoldingsState == None or position != trailingAbsoluteHoldingsState.position:
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self.trailingAbsoluteHoldingsState[symbol] = trailingAbsoluteHoldingsState = self.HoldingsState(position, security.Holdings.AbsoluteHoldingsCost)
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trailingAbsoluteHoldingsValue = trailingAbsoluteHoldingsState.absoluteHoldingsValue
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# Check for new max (for long position) or min (for short position) absolute holdings value
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if ((position == PositionSide.Long and trailingAbsoluteHoldingsValue < absoluteHoldingsValue) or
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(position == PositionSide.Short and trailingAbsoluteHoldingsValue > absoluteHoldingsValue)):
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self.trailingAbsoluteHoldingsState[symbol].absoluteHoldingsValue = absoluteHoldingsValue
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continue
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drawdown = abs((trailingAbsoluteHoldingsValue - absoluteHoldingsValue) / trailingAbsoluteHoldingsValue)
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if self.maximumDrawdownPercent < drawdown:
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# Cancel insights
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algorithm.Insights.Cancel([ symbol ]);
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self.trailingAbsoluteHoldingsState.pop(symbol, None)
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# liquidate
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riskAdjustedTargets.append(PortfolioTarget(symbol, 0))
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return riskAdjustedTargets
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class HoldingsState:
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def __init__(self, position, absoluteHoldingsValue):
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self.position = position
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self.absoluteHoldingsValue = absoluteHoldingsValue
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