Adding stop loss or risk management to Manual Universe strategy

Hi,

If you follow this guide it should be relatively simple, if you have any more questions let me know;

https://www.quantconnect.com/docs/algorithm-framework/risk-management

And here you can find all the available modules;

https://github.com/QuantConnect/Lean/tree/master/Algorithm.Framework/Risk

Thanks!

Mak, thank you very much for your response.

I was trying to solve it with Framework for the last a few days, (the first link you sent), but I still feel like I'm missing something, 

The second link with a several framework strategies is very helpful, thank you very much for sharing it.

Following the above, I created “MaximumDrawdownPercentPerSecurity” class in a stand alone file and called it in a main.py with “self.AddRiskManagement(MaximumDrawdownPercentPerSecurity(self)), which seems to be a wrong way because I keep on getting the following error; ”"During the algorithm initialization, the following exception has occurred: TypeError : bad operand type for abs(): 'WellDressedSkyBlueSardine'  at __init__    self.maximumDrawdownPercent = -abs(maximumDrawdownPercent)  File "main.py" in MaximumDrawdownPercentPerSecurity.py: line 10  TypeError : bad operand type for abs(): 'WellDressedSkyBlueSardine'"

also, my “OnSecuritiesChanged” includes only code that relevant to my original “universe selection”, and have no reference to the risk management code, so I'm not sure how it supposed to pick up the “sale” signal when its a time

I'm trying my best with Python but I feel I still missing something.

Mak, I'll appreciate your help.

(the updated code attached for your review)

D

Hi,

Thanks for the attached code, I will get this working for you today!

Hi again I think I found the way to add “TrailingStopRiskManagementModel” however I still don't have a way to do a liquidate in case of market/portfolio meltdown ( lets say if portfolio goes 10% down, I want to liquidate and wait timedelta days

attached is my final code

Please let me know your  thoughts.

D

Hi,

There are complete models to solve that problem, will link you in a minute.

Thanks!

Hi again,

You can add this model to your code for the max loss per portfolio;

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Risk/MaximumDrawdownPercentPortfolio.py

Works the same way as trailing stop etc. implementation wise.

For the timed delta thing to avoid market meltdown I would pick something less arbitrary if I was you. Maybe try using VIX or something like that.

Thanks!

Hi Clueless,
The class MaximumDrawdownPercentPerSecurity takes only a float input or none during initialization, as seen in the __init__ function. To resolve the issue, we need to remove the algorithm parameter which we are passing when creating the risk management model:
 

self.AddRiskManagement(MaximumDrawdownPercentPerSecurity())

We can implement an OnSecuritiesChanged event handler inside the RiskManagementModel. Refer to the attached backtest.
Best,
Varad Kabade