The below snippet of code is giving me the following error:

Runtime Error: 'Equity' object has no attribute 'symbol'
  at ManageRisk
    if not security.Invested and security.symbol['SPY']:
…

I know its because I am not exempting the SPY properly within a kvp list.  How would I go about exempting specific equities from this sample risk management model?


The trailing Stop code:

  1. #region imports
  2. from AlgorithmImports import *
  3. from main import *
  4. #endregion
  5. from QuantConnect.Algorithm.Framework.Risk import RiskManagementModel
  8. # bracket risk model class
  9. class BracketRiskModel(RiskManagementModel):
  10.     '''Creates a trailing stop loss for the maximumDrawdownPercent value and a profit taker for the maximumUnrealizedProfitPercent value'''
  11.     def __init__(self,maximumDrawdownPercent = 0.1, maximumUnrealizedProfitPercent = 0.1):
  12.         #it was maximumDrawdownPercent maximumUnrealizedProfitPercent  .05
  13.         self.maximumDrawdownPercent = -abs(maximumDrawdownPercent)
  14.         self.trailingHighs = dict()
  15.         self.maximumUnrealizedProfitPercent = abs(maximumUnrealizedProfitPercent)
  19.     def ManageRisk(self, algorithm, targets):
  20.         riskAdjustedTargets = list()
  21.         for kvp in algorithm.Securities:
  22.             symbol = kvp.Key
  23.             security = kvp.Value
  26.             # Remove if not invested
  27. 		    #        
  28.             #THIS IS WHERE ITS ERRORING. What is the correct way to have this ignore a specific security, in this case the SPY?
  29.             #
  30.             if not security.Invested and security.symbol['SPY']:
  31.                 self.trailingHighs.pop(symbol, None)
  32.                 continue
  33.             pnl = security.Holdings.UnrealizedProfitPercent
  34.            
  35.             if pnl > self.maximumUnrealizedProfitPercent:
  36.                 # liquidate
  37.                 algorithm.Debug(f"Profit Taken: {security.Symbol}")
  38.                 algorithm.Log(f"Profit Taken: {security.Symbol}")
  39.                 riskAdjustedTargets.append(PortfolioTarget(security.Symbol, 0))
  40.                 return riskAdjustedTargets
  41.                
  42.             # Add newly invested securities
  43.             if symbol not in self.trailingHighs:
  44.                 self.trailingHighs[symbol] = security.Holdings.AveragePrice   # Set to average holding cost
  45.                 continue
  48.             # Check for new highs and update - set to tradebar high
  49.             if self.trailingHighs[symbol] < security.High:
  50.                 self.trailingHighs[symbol] = security.High
  51.                 continue
  54.             # Check for securities past the drawdown limit
  55.             securityHigh = self.trailingHighs[symbol]
  56.             drawdown = (security.Low / securityHigh) - 1
  59.                
  60.             if drawdown < self.maximumDrawdownPercent:
  61.                 # liquidate
  62.                 algorithm.Debug(f"Losses Taken: {security.Symbol}")
  63.                 algorithm.Log(f"Losses Taken: {security.Symbol}")
  64.                 riskAdjustedTargets.append(PortfolioTarget(symbol, 0))
  65.                
  66.         return riskAdjustedTargets
+ Expand

Author

Axist

November 2022