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AddRiskManagementAlgorithm.py
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# 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))