QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPerSecurity Class Reference
Provides an implementation of IRiskManagementModel that limits the drawdown per holding to the specified percentage More...
Inheritance diagram for QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPerSecurity:
Public Member Functions | |
| MaximumDrawdownPercentPerSecurity (decimal maximumDrawdownPercent=0.05m) | |
| Initializes a new instance of the MaximumDrawdownPercentPerSecurity class More... | |
| override IEnumerable< IPortfolioTarget > | ManageRisk (QCAlgorithm algorithm, IPortfolioTarget[] targets) |
| Manages the algorithm's risk at each time step More... | |
 Public Member Functions inherited from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel | |
| virtual void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
| Event fired each time the we add/remove securities from the data feed More... | |
Detailed Description
Provides an implementation of IRiskManagementModel that limits the drawdown per holding to the specified percentage
Definition at line 27 of file MaximumDrawdownPercentPerSecurity.cs.
Constructor & Destructor Documentation
◆ MaximumDrawdownPercentPerSecurity()
| QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPerSecurity.MaximumDrawdownPercentPerSecurity | ( | decimal | maximumDrawdownPercent = 0.05m | ) |
Initializes a new instance of the MaximumDrawdownPercentPerSecurity class
- Parameters
-
maximumDrawdownPercent The maximum percentage drawdown allowed for any single security holding, defaults to 5% drawdown per security
Definition at line 36 of file MaximumDrawdownPercentPerSecurity.cs.
Member Function Documentation
◆ ManageRisk()
|
virtual |
Manages the algorithm's risk at each time step
- Parameters
-
algorithm The algorithm instance targets The current portfolio targets to be assessed for risk
Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.
Definition at line 48 of file MaximumDrawdownPercentPerSecurity.cs.
The documentation for this class was generated from the following file:
- Algorithm.Framework/Risk/MaximumDrawdownPercentPerSecurity.cs
