public void ReturnsExpectedPortfolioTarget(
Language language,
decimal maxDrawdownPercent,
bool invested,
decimal unrealizedProfit,
decimal absoluteHoldingsCost,
bool shouldLiquidate)
{
var security = new Mock <Equity>(
Symbols.AAPL,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
security.Setup(m => m.Invested).Returns(invested);
var holding = new Mock <EquityHolding>(security.Object,
new IdentityCurrencyConverter(CashBook.AccountCurrency));
holding.Setup(m => m.UnrealizedProfit).Returns(unrealizedProfit);
holding.Setup(m => m.AbsoluteHoldingsCost).Returns(absoluteHoldingsCost);
security.Object.Holdings = holding.Object;
var algorithm = new QCAlgorithmFramework();
algorithm.SetPandasConverter();
algorithm.Securities.Add(Symbols.AAPL, security.Object);
if (language == Language.Python)
{
using (Py.GIL())
{
const string name = nameof(MaximumDrawdownPercentPerSecurity);
var instance = Py.Import(name).GetAttr(name).Invoke(maxDrawdownPercent.ToPython());
var model = new RiskManagementModelPythonWrapper(instance);
algorithm.SetRiskManagement(model);
}
}
else
{
var model = new MaximumDrawdownPercentPerSecurity(maxDrawdownPercent);
algorithm.SetRiskManagement(model);
}
var targets = algorithm.RiskManagement.ManageRisk(algorithm, null).ToList();
if (shouldLiquidate)
{
Assert.AreEqual(1, targets.Count);
Assert.AreEqual(Symbols.AAPL, targets[0].Symbol);
Assert.AreEqual(0, targets[0].Quantity);
}
else
{
Assert.AreEqual(0, targets.Count);
}
}
/// <summary>
/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
/// </summary>
public override void Initialize()
{
// Set requested data resolution
UniverseSettings.Resolution = Resolution.Minute;
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
// Forex, CFD, Equities Resolutions: Tick, Second, Minute, Hour, Daily.
// Futures Resolution: Tick, Second, Minute
// Options Resolution: Minute Only.
// set algorithm framework models
UniverseSelection = new ManualUniverseSelectionModel(QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA));
Alpha = new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null);
PortfolioConstruction = new EqualWeightingPortfolioConstructionModel();
Execution = new ImmediateExecutionModel();
RiskManagement = new MaximumDrawdownPercentPerSecurity(0.01m);
}
