# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.

#

# Licensed under the Apache License, Version 2.0 (the "License");

# you may not use this file except in compliance with the License.

# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

#

# Unless required by applicable law or agreed to in writing, software

# distributed under the License is distributed on an "AS IS" BASIS,

# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.

# See the License for the specific language governing permissions and

# limitations under the License.

from AlgorithmImports import *

### <summary>

### Test algorithm using 'QCAlgorithm.add_risk_management(IRiskManagementModel)'

### </summary>

class AddRiskManagementAlgorithm(QCAlgorithm):

'''Basic template framework algorithm uses framework components to define the algorithm.'''

def initialize(self):

''' Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.'''

self.universe_settings.resolution = Resolution.MINUTE

self.set_start_date(2013,10,7) #Set Start Date

self.set_end_date(2013,10,11) #Set End Date

self.set_cash(100000) #Set Strategy Cash

symbols = [ Symbol.create("SPY", SecurityType.EQUITY, Market.USA) ]

# set algorithm framework models

self.set_universe_selection(ManualUniverseSelectionModel(symbols))

self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))

self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel())

self.set_execution(ImmediateExecutionModel())

# Both setting methods should work

risk_model = CompositeRiskManagementModel(MaximumDrawdownPercentPortfolio(0.02))

risk_model.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))

self.set_risk_management(MaximumDrawdownPercentPortfolio(0.02))

self.add_risk_management(MaximumUnrealizedProfitPercentPerSecurity(0.01))