MaximumDrawdownPercentPerSecurity

QuantConnect.Algorithm.Framework.Risk.MaximumDrawdownPercentPerSecurity

MaximumDrawdownPercentPerSecurity(
    maximum_drawdown_percent: float = 0.05,
)

Provides an implementation of IRiskManagementModel that limits the drawdown per holding to the specified percentage

Initializes a new instance of the MaximumDrawdownPercentPerSecurity class

Parameters:

Name	Type	Description	Default
`maximum_drawdown_percent`	`float`	The maximum percentage drawdown allowed for any single security holding, defaults to 5% drawdown per security	`0.05`

manage_risk(
    algorithm: QCAlgorithm, targets: List[IPortfolioTarget]
) -> Iterable[IPortfolioTarget]

Manages the algorithm's risk at each time step

Parameters:

Name	Type	Description	Default
`algorithm`	`QCAlgorithm`	The algorithm instance	required
`targets`	`List[IPortfolioTarget]`	The current portfolio targets to be assessed for risk	required

on_securities_changed(
    algorithm: QCAlgorithm, changes: SecurityChanges
) -> None

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

Parameters:

Name	Type	Description	Default
`algorithm`	`QCAlgorithm`	The algorithm instance that experienced the change in securities	required
`changes`	`SecurityChanges`	The security additions and removals from the algorithm	required