wehub-resource-sync
45 lines
2.2 KiB
Python
45 lines
2.2 KiB
Python
# 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.
|
|
|
|
from AlgorithmImports import *
|
|
|
|
### <summary>
|
|
### Test algorithm using 'QCAlgorithm.add_risk_management(IRiskManagementModel)'
|
|
### </summary>
|
|
class AddRiskManagementAlgorithm(QCAlgorithm):
|
|
'''Basic template framework algorithm uses framework components to define the algorithm.'''
|
|
|
|
def initialize(self):
|
|
''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''
|
|
self.universe_settings.resolution = Resolution.MINUTE
|
|
|
|
self.set_start_date(2013,10,7) #Set Start Date
|
|
self.set_end_date(2013,10,11) #Set End Date
|
|
self.set_cash(100000) #Set Strategy Cash
|
|
|
|
symbols = [ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]
|
|
|
|
# set algorithm framework models
|
|
self.set_universe_selection(ManualUniverseSelectionModel(symbols))
|
|
self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
|
|
self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())
|
|
self.set_execution(ImmediateExecutionModel())
|
|
|
|
# Both setting methods should work
|
|
risk_model = CompositeRiskManagementModel(MaximumDrawdownPercentPortfolio(0.02))
|
|
risk_model.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))
|
|
|
|
self.set_risk_management(MaximumDrawdownPercentPortfolio(0.02))
|
|
self.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))
|
|
|