To use multiple risk management models simultaneously in QuantConnect, you should use the CompositeRiskManagementModel. Here's how you can modify your code to achieve this:

1. Import Necessary Modules: Ensure you have imported all necessary modules, including CompositeRiskManagementModel and any specific risk management models you intend to use.

2. Initialize the Algorithm: In your algorithm's initialize method, set up your algorithm parameters such as start date, end date, and initial cash.

3. Create Risk Management Models: Instantiate the individual risk management models you want to use.

4. Combine Models Using CompositeRiskManagementModel: Create an instance of CompositeRiskManagementModel and add your individual risk management models to it.

5. Set the Composite Model: Use self.set_risk_management() to set the CompositeRiskManagementModel as your algorithm's risk management model.

Here's a corrected version of your code:

from AlgorithmImports import *
class Rlstrategy(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        # Define the risk management models
        max_drawdown_security = MaximumDrawdownPercentPerSecurity(0.05)
        max_drawdown_portfolio = MaximumDrawdownPercentPortfolio(0.10)
        # Combine them using CompositeRiskManagementModel
        composite_risk_management = CompositeRiskManagementModel()
        composite_risk_management.add_risk_management(max_drawdown_security)
        composite_risk_management.add_risk_management(max_drawdown_portfolio)
        # Set the composite risk management model
        self.set_risk_management(composite_risk_management)
+ Expand
- Collapse

Key Points:

• CompositeRiskManagementModel: This model allows you to combine multiple risk management models, which will sequentially adjust the portfolio targets.

Sources: Key Concepts - QuantConnect.com, Composite Risk Management Model Framework Algorithm, Supported Models - QuantConnect.com, Add Risk Management Algorithm, Composite Alpha Model Framework Algorithm

in the documents they have describe the way to do multiple risk management but it does not work if you loop through. 

# Add multiple Risk Management models to sequentially adjust portfolio targets, with each model refining the targets passed from the previous model, managing risk across individual securities and sectors.		
self.add_risk_management(MaximumDrawdownPercentPerSecurity())
self.add_risk_management(MaximumSectorExposureRiskManagementModel())

I want to use loop as I took value from config and use load_module method to load object from str. it works but override the first, second with last one. and in my strategy only I have one risk management model.

Hi Mia Alissi 

can you provide me the solution how can I solve this 
20240930 12:54:57.355 ERROR:: During the algorithm initialization, the following exception has occurred: Must specify at least 1 risk management model for the
CompositeRiskManagementModel
 at initialize
   composite_risk_management = CompositeRiskManagementModel()
                               ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
in main.py: line 46
Must specify at least 1 risk management model for the CompositeRiskManagementModel
Must specify at least 1 risk management model for the CompositeRiskManagementModel
 at initialize
   composite_risk_management = CompositeRiskManagementModel()
                               ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
in main.py: line 46
Must specify at least 1 risk management model for the CompositeRiskManagementModel

To resolve the error "Must specify at least 1 risk management model for the CompositeRiskManagementModel," you need to ensure that you initialize the CompositeRiskManagementModel with at least one risk management model. Here's how you can do it:

1. Import Necessary Modules: Ensure you have imported all necessary modules, including specific risk management models you intend to use.

2. Initialize the Algorithm: In your algorithm's initialize method, set up your algorithm parameters such as start date, end date, and initial cash.

3. Create Risk Management Models: Instantiate the individual risk management models you want to use.

4. Combine Models Using CompositeRiskManagementModel: Create an instance of CompositeRiskManagementModel and pass your individual risk management models to it.

5. Set the Composite Model: Use self.set_risk_management() to set the CompositeRiskManagementModel as your algorithm's risk management model.

Here's an example of how to implement this:

from AlgorithmImports import *
class Rlstrategy(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        # Define the risk management models
        max_drawdown_security = MaximumDrawdownPercentPerSecurity(0.05)
        max_drawdown_portfolio = MaximumDrawdownPercentPortfolio(0.10)
        # Combine them using CompositeRiskManagementModel
        composite_risk_management = CompositeRiskManagementModel(
            max_drawdown_security,
            max_drawdown_portfolio
        )
        # Set the composite risk management model
        self.set_risk_management(composite_risk_management)
+ Expand
- Collapse

Key Points:

• CompositeRiskManagementModel: This model allows you to combine multiple risk management models, which will sequentially adjust the portfolio targets.
• Initialization: Ensure that you pass at least one risk management model when creating the CompositeRiskManagementModel instance.

Sources: Key Concepts - QuantConnect.com, Composite Risk Management Model Framework Algorithm, Add Risk Management Algorithm, Risk Parity Portfolio Algorithm, Composite Alpha Model Framework Algorithm