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QuantConnect.Algorithm.Framework.Risk.MaximumUnrealizedProfitPercentPerSecurity Class Reference

Provides an implementation of IRiskManagementModel that limits the unrealized profit per holding to the specified percentage More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Risk.MaximumUnrealizedProfitPercentPerSecurity:
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Public Member Functions

 MaximumUnrealizedProfitPercentPerSecurity (decimal maximumUnrealizedProfitPercent=0.05m)
 Initializes a new instance of the MaximumUnrealizedProfitPercentPerSecurity class More...
 
override IEnumerable< IPortfolioTargetManageRisk (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 unrealized profit per holding to the specified percentage

Definition at line 27 of file MaximumUnrealizedProfitPercentPerSecurity.cs.

Constructor & Destructor Documentation

◆ MaximumUnrealizedProfitPercentPerSecurity()

QuantConnect.Algorithm.Framework.Risk.MaximumUnrealizedProfitPercentPerSecurity.MaximumUnrealizedProfitPercentPerSecurity ( decimal  maximumUnrealizedProfitPercent = 0.05m)

Initializes a new instance of the MaximumUnrealizedProfitPercentPerSecurity class

Parameters
maximumUnrealizedProfitPercentThe maximum percentage unrealized profit allowed for any single security holding, defaults to 5% drawdown per security

Definition at line 36 of file MaximumUnrealizedProfitPercentPerSecurity.cs.

Member Function Documentation

◆ ManageRisk()

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

Manages the algorithm's risk at each time step

Parameters
algorithmThe algorithm instance
targetsThe current portfolio targets to be assessed for risk

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

Definition at line 48 of file MaximumUnrealizedProfitPercentPerSecurity.cs.


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