chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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;
+using System.Collections.Generic;
+using QuantConnect.Algorithm.Framework.Portfolio;
+
+namespace QuantConnect.Algorithm.Framework.Risk
+{
+    /// <summary>
+    /// Provides an implementation of <see cref="IRiskManagementModel"/> that limits the maximum possible loss
+    /// measured from the highest unrealized profit
+    /// </summary>
+    public class TrailingStopRiskManagementModel : RiskManagementModel
+    {
+        private readonly decimal _maximumDrawdownPercent;
+        private readonly Dictionary<Symbol, HoldingsState> _trailingAbsoluteHoldingsState = new Dictionary<Symbol, HoldingsState>();
+
+        /// <summary>
+        /// Initializes a new instance of the <see cref="TrailingStopRiskManagementModel"/> class
+        /// </summary>
+        /// <param name="maximumDrawdownPercent">The maximum percentage relative drawdown allowed for algorithm portfolio compared with the highest unrealized profit, defaults to 5% drawdown per security</param>
+        public TrailingStopRiskManagementModel(decimal maximumDrawdownPercent = 0.05m)
+        {
+            _maximumDrawdownPercent = Math.Abs(maximumDrawdownPercent);
+        }
+
+        /// <summary>
+        /// Manages the algorithm's risk at each time step
+        /// </summary>
+        /// <param name="algorithm">The algorithm instance</param>
+        /// <param name="targets">The current portfolio targets to be assessed for risk</param>
+        public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
+        {
+            foreach (var kvp in algorithm.Securities)
+            {
+                var symbol = kvp.Key;
+                var security = kvp.Value;
+
+                // Remove if not invested
+                if (!security.Invested)
+                {
+                    _trailingAbsoluteHoldingsState.Remove(symbol);
+                    continue;
+                }
+
+                var position = security.Holdings.IsLong ? PositionSide.Long : PositionSide.Short;
+                var absoluteHoldingsValue = security.Holdings.AbsoluteHoldingsValue;
+                HoldingsState trailingAbsoluteHoldingsState;
+
+                // Add newly invested security (if doesn't exist) or reset holdings state (if position changed)
+                if (!_trailingAbsoluteHoldingsState.TryGetValue(symbol, out trailingAbsoluteHoldingsState) ||
+                    position != trailingAbsoluteHoldingsState.Position)
+                {
+                    _trailingAbsoluteHoldingsState[symbol] = trailingAbsoluteHoldingsState = new HoldingsState(position, security.Holdings.AbsoluteHoldingsCost);
+                }
+
+                var trailingAbsoluteHoldingsValue = trailingAbsoluteHoldingsState.AbsoluteHoldingsValue;
+
+                // Check for new max (for long position) or min (for short position) absolute holdings value
+                if ((position == PositionSide.Long && trailingAbsoluteHoldingsValue < absoluteHoldingsValue) ||
+                    (position == PositionSide.Short && trailingAbsoluteHoldingsValue > absoluteHoldingsValue))
+                {
+                    trailingAbsoluteHoldingsState.AbsoluteHoldingsValue = absoluteHoldingsValue;
+                    continue;
+                }
+
+                var drawdown = Math.Abs((trailingAbsoluteHoldingsValue - absoluteHoldingsValue) / trailingAbsoluteHoldingsValue);
+
+                if (_maximumDrawdownPercent < drawdown)
+                {
+                    // Cancel insights
+                    algorithm.Insights.Cancel(new[] { symbol });
+
+                    _trailingAbsoluteHoldingsState.Remove(symbol);
+                    // liquidate
+                    yield return new PortfolioTarget(symbol, 0);
+                }
+            }
+        }
+
+        /// <summary>
+        /// Helper class used to store holdings state for the <see cref="TrailingStopRiskManagementModel"/>
+        /// in <see cref="ManageRisk"/>
+        /// </summary>
+        private class HoldingsState
+        {
+            public PositionSide Position;
+            public decimal AbsoluteHoldingsValue;
+
+            public HoldingsState(PositionSide position, decimal absoluteHoldingsValue)
+            {
+                Position = position;
+                AbsoluteHoldingsValue = absoluteHoldingsValue;
+            }
+        }
+    }
+}