wehub-resource-sync
74 lines
2.7 KiB
C#
74 lines
2.7 KiB
C#
/*
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* 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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*
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.Framework.Risk
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{
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/// <summary>
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/// Provides an implementation of <see cref="IRiskManagementModel"/> that limits the drawdown
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/// per holding to the specified percentage
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/// </summary>
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public class MaximumDrawdownPercentPerSecurity : RiskManagementModel
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{
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private readonly decimal _maximumDrawdownPercent;
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/// <summary>
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/// Initializes a new instance of the <see cref="MaximumDrawdownPercentPerSecurity"/> class
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/// </summary>
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/// <param name="maximumDrawdownPercent">The maximum percentage drawdown allowed for any single security holding,
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/// defaults to 5% drawdown per security</param>
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public MaximumDrawdownPercentPerSecurity(
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decimal maximumDrawdownPercent = 0.05m
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)
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{
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_maximumDrawdownPercent = -Math.Abs(maximumDrawdownPercent);
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}
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/// <summary>
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/// Manages the algorithm's risk at each time step
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="targets">The current portfolio targets to be assessed for risk</param>
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public override IEnumerable<IPortfolioTarget> ManageRisk(QCAlgorithm algorithm, IPortfolioTarget[] targets)
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{
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foreach (var kvp in algorithm.Securities)
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{
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var security = kvp.Value;
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if (!security.Invested)
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{
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continue;
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}
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var pnl = security.Holdings.UnrealizedProfitPercent;
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if (pnl < _maximumDrawdownPercent)
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{
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var symbol = security.Symbol;
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// Cancel insights
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algorithm.Insights.Cancel(new[] { symbol });
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// liquidate
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yield return new PortfolioTarget(symbol, 0);
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}
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}
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}
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}
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}
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