QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel Class Reference

Provides an implementation of IRiskManagementModel that limits the sector exposure to the specified percentage More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel:

Public Member Functions
	MaximumSectorExposureRiskManagementModel (decimal maximumSectorExposure=0.20m)
	Initializes a new instance of the MaximumSectorExposureRiskManagementModel class More...
override IEnumerable< IPortfolioTarget >	ManageRisk (QCAlgorithm algorithm, IPortfolioTarget[] targets)
	Manages the algorithm's risk at each time step More...
override 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 sector exposure to the specified percentage

Definition at line 29 of file MaximumSectorExposureRiskManagementModel.cs.

Constructor & Destructor Documentation

MaximumSectorExposureRiskManagementModel()

QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel.MaximumSectorExposureRiskManagementModel

(

decimal

maximumSectorExposure = 0.20m

)

Initializes a new instance of the MaximumSectorExposureRiskManagementModel class

Parameters

maximumSectorExposure

The maximum exposure for any sector, defaults to 20% sector exposure.

Definition at line 38 of file MaximumSectorExposureRiskManagementModel.cs.

Member Function Documentation

ManageRisk()

override IEnumerable<IPortfolioTarget> QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel.ManageRisk ( QCAlgorithm  algorithm, IPortfolioTarget[]  targets  )

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 56 of file MaximumSectorExposureRiskManagementModel.cs.

OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel.OnSecuritiesChanged ( QCAlgorithm  algorithm, SecurityChanges  changes  )

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.

Definition at line 120 of file MaximumSectorExposureRiskManagementModel.cs.

---

The documentation for this class was generated from the following file:

• Algorithm.Framework/Risk/MaximumSectorExposureRiskManagementModel.cs