wehub-resource-sync
33 lines
1.7 KiB
Python
33 lines
1.7 KiB
Python
# 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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from AlgorithmImports import *
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from BaseFrameworkRegressionAlgorithm import BaseFrameworkRegressionAlgorithm
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from Risk.CompositeRiskManagementModel import CompositeRiskManagementModel
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from Risk.MaximumDrawdownPercentPortfolio import MaximumDrawdownPercentPortfolio
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### <summary>
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### Regression algorithm to assert the behavior of <see cref="MaximumDrawdownPercentPortfolio"/>.
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### </summary>
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class MaximumDrawdownPercentPortfolioFrameworkRegressionAlgorithm(BaseFrameworkRegressionAlgorithm):
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def initialize(self):
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super().initialize()
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self.set_universe_selection(ManualUniverseSelectionModel(Symbol.create("AAPL", SecurityType.EQUITY, Market.USA)))
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# define risk management model as a composite of several risk management models
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self.set_risk_management(CompositeRiskManagementModel(
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MaximumDrawdownPercentPortfolio(0.01), # Avoid loss of initial capital
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MaximumDrawdownPercentPortfolio(0.015, True) # Avoid profit losses
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))
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