wehub-resource-sync
93 lines
3.8 KiB
C#
93 lines
3.8 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 of the portfolio
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/// to the specified percentage. Once this is triggered the algorithm will need to be manually restarted.
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/// </summary>
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public class MaximumDrawdownPercentPortfolio : RiskManagementModel
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{
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private readonly decimal _maximumDrawdownPercent;
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private decimal _portfolioHigh;
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private bool _initialised = false;
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private bool _isTrailing;
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/// <summary>
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/// Initializes a new instance of the <see cref="MaximumDrawdownPercentPortfolio"/> class
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/// </summary>
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/// <param name="maximumDrawdownPercent">The maximum percentage drawdown allowed for algorithm portfolio
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/// compared with starting value, defaults to 5% drawdown</param>
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/// <param name="isTrailing">If "false", the drawdown will be relative to the starting value of the portfolio.
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/// If "true", the drawdown will be relative the last maximum portfolio value</param>
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public MaximumDrawdownPercentPortfolio(decimal maximumDrawdownPercent = 0.05m, bool isTrailing = false)
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{
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_maximumDrawdownPercent = -Math.Abs(maximumDrawdownPercent);
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_isTrailing = isTrailing;
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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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var currentValue = algorithm.Portfolio.TotalPortfolioValue;
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if (!_initialised)
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{
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_portfolioHigh = currentValue; // Set initial portfolio value
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_initialised = true;
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}
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// Update trailing high value if in trailing mode
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if (_isTrailing && (_portfolioHigh < currentValue))
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{
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_portfolioHigh = currentValue;
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yield break; // return if new high reached
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}
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var pnl = GetTotalDrawdownPercent(currentValue);
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if (pnl < _maximumDrawdownPercent && targets.Length != 0)
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{
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// reset the trailing high value for restart investing on next rebalcing period
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_initialised = false;
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foreach (var target in targets)
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{
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var symbol = target.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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private decimal GetTotalDrawdownPercent(decimal currentValue)
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{
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return (currentValue / _portfolioHigh) - 1.0m;
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}
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}
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}
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