Lean
$LEAN_TAG$
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Provides an implementation of IRiskManagementModel that limits the sector exposure to the specified percentage More...
Public Member Functions | |
MaximumSectorExposureRiskManagementModel (decimal maximumSectorExposure=0.20m) | |
Initializes a new instance of the MaximumSectorExposureRiskManagementModel class More... | |
override IEnumerable< IPortfolioTarget > | ManageRisk (QCAlgorithm algorithm, IPortfolioTarget[] targets) |
Manages the algorithm's risk at each time step More... | |
override void | OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes) |
Event fired each time the we add/remove securities from the data feed More... | |
Provides an implementation of IRiskManagementModel that limits the sector exposure to the specified percentage
Definition at line 29 of file MaximumSectorExposureRiskManagementModel.cs.
QuantConnect.Algorithm.Framework.Risk.MaximumSectorExposureRiskManagementModel.MaximumSectorExposureRiskManagementModel | ( | decimal | maximumSectorExposure = 0.20m | ) |
Initializes a new instance of the MaximumSectorExposureRiskManagementModel class
maximumSectorExposure | The maximum exposure for any sector, defaults to 20% sector exposure. |
Definition at line 38 of file MaximumSectorExposureRiskManagementModel.cs.
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virtual |
Manages the algorithm's risk at each time step
algorithm | The algorithm instance |
targets | The current portfolio targets to be assessed for risk |
Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.
Definition at line 56 of file MaximumSectorExposureRiskManagementModel.cs.
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virtual |
Event fired each time the we add/remove securities from the data feed
algorithm | The algorithm instance that experienced the change in securities |
changes | The security additions and removals from the algorithm |
Reimplemented from QuantConnect.Algorithm.Framework.Risk.RiskManagementModel.
Definition at line 120 of file MaximumSectorExposureRiskManagementModel.cs.