Provides an implementation of IRiskManagementModel that limits the drawdown of the portfolio to the specified percentage. Once this is triggered the algorithm will need to be manually restarted. More...
Public Member Functions | |
| MaximumDrawdownPercentPortfolio (decimal maximumDrawdownPercent=0.05m, bool isTrailing=false) | |
| Initializes a new instance of the MaximumDrawdownPercentPortfolio 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 of the portfolio to the specified percentage. Once this is triggered the algorithm will need to be manually restarted.
Definition at line 27 of file MaximumDrawdownPercentPortfolio.cs.
Constructor & Destructor Documentation
◆ MaximumDrawdownPercentPortfolio()
| QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPortfolio.MaximumDrawdownPercentPortfolio | ( | decimal | maximumDrawdownPercent = 0.05m, |
| bool | isTrailing = false |
||
| ) |
Initializes a new instance of the MaximumDrawdownPercentPortfolio class
- Parameters
-
maximumDrawdownPercent The maximum percentage drawdown allowed for algorithm portfolio compared with starting value, defaults to 5% drawdown isTrailing If "false", the drawdown will be relative to the starting value of the portfolio. If "true", the drawdown will be relative the last maximum portfolio value
Definition at line 41 of file MaximumDrawdownPercentPortfolio.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 52 of file MaximumDrawdownPercentPortfolio.cs.
The documentation for this class was generated from the following file:
- Algorithm.Framework/Risk/MaximumDrawdownPercentPortfolio.cs
