wehub-resource-sync
112 lines
4.9 KiB
C#
112 lines
4.9 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 maximum possible loss
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/// measured from the highest unrealized profit
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/// </summary>
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public class TrailingStopRiskManagementModel : RiskManagementModel
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{
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private readonly decimal _maximumDrawdownPercent;
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private readonly Dictionary<Symbol, HoldingsState> _trailingAbsoluteHoldingsState = new Dictionary<Symbol, HoldingsState>();
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/// <summary>
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/// Initializes a new instance of the <see cref="TrailingStopRiskManagementModel"/> class
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/// </summary>
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/// <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>
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public TrailingStopRiskManagementModel(decimal maximumDrawdownPercent = 0.05m)
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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 symbol = kvp.Key;
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var security = kvp.Value;
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// Remove if not invested
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if (!security.Invested)
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{
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_trailingAbsoluteHoldingsState.Remove(symbol);
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continue;
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}
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var position = security.Holdings.IsLong ? PositionSide.Long : PositionSide.Short;
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var absoluteHoldingsValue = security.Holdings.AbsoluteHoldingsValue;
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HoldingsState trailingAbsoluteHoldingsState;
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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.TryGetValue(symbol, out trailingAbsoluteHoldingsState) ||
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position != trailingAbsoluteHoldingsState.Position)
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{
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_trailingAbsoluteHoldingsState[symbol] = trailingAbsoluteHoldingsState = new HoldingsState(position, security.Holdings.AbsoluteHoldingsCost);
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}
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var 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 && trailingAbsoluteHoldingsValue < absoluteHoldingsValue) ||
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(position == PositionSide.Short && trailingAbsoluteHoldingsValue > absoluteHoldingsValue))
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{
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trailingAbsoluteHoldingsState.AbsoluteHoldingsValue = absoluteHoldingsValue;
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continue;
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}
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var drawdown = Math.Abs((trailingAbsoluteHoldingsValue - absoluteHoldingsValue) / trailingAbsoluteHoldingsValue);
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if (_maximumDrawdownPercent < drawdown)
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{
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// Cancel insights
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algorithm.Insights.Cancel(new[] { symbol });
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_trailingAbsoluteHoldingsState.Remove(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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/// <summary>
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/// Helper class used to store holdings state for the <see cref="TrailingStopRiskManagementModel"/>
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/// in <see cref="ManageRisk"/>
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/// </summary>
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private class HoldingsState
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{
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public PositionSide Position;
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public decimal AbsoluteHoldingsValue;
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public HoldingsState(PositionSide position, decimal absoluteHoldingsValue)
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{
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Position = position;
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AbsoluteHoldingsValue = absoluteHoldingsValue;
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}
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}
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}
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}
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