Back

Help With Sector Allocation Risk Module in the Algo Framework

# 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 clr import AddReference
AddReference("System")
AddReference("QuantConnect.Common")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Algorithm.Framework")

from QuantConnect.Algorithm import *
from QuantConnect.Algorithm.Framework import *
from QuantConnect.Algorithm.Framework.Portfolio import PortfolioTarget, PortfolioTargetCollection
from QuantConnect.Algorithm.Framework.Risk import RiskManagementModel
from itertools import groupby

class MaximumSectorExposureRiskManagementModel(RiskManagementModel):
'''Provides an implementation of IRiskManagementModel that that limits the sector exposure to the specified percentage'''

def __init__(self, maximumSectorExposure = 0.20):
'''Initializes a new instance of the MaximumSectorExposureRiskManagementModel class
Args:
maximumDrawdownPercent: The maximum exposure for any sector, defaults to 20% sector exposure.'''
if maximumSectorExposure <= 0:
raise ValueError('MaximumSectorExposureRiskManagementModel: the maximum sector exposure cannot be a non-positive value.')

self.maximumSectorExposure = maximumSectorExposure
self.targetsCollection = PortfolioTargetCollection()

def ManageRisk(self, algorithm, targets):
'''Manages the algorithm's risk at each time step
Args:
algorithm: The algorithm instance'''
maximumSectorExposureValue = float(algorithm.Portfolio.TotalPortfolioValue) * self.maximumSectorExposure

self.targetsCollection.AddRange(targets)

risk_targets = list()

# Group the securities by their sector
filtered = list(filter(lambda x: x.Value.Fundamentals is not None and x.Value.Fundamentals.HasFundamentalData, algorithm.UniverseManager.ActiveSecurities))
filtered.sort(key = lambda x: x.Value.Fundamentals.CompanyReference.IndustryTemplateCode)
groupBySector = groupby(filtered, lambda x: x.Value.Fundamentals.CompanyReference.IndustryTemplateCode)

for code, securities in groupBySector:
# Compute the sector absolute holdings value
# If the construction model has created a target, we consider that
# value to calculate the security absolute holding value
quantities = {}
sectorAbsoluteHoldingsValue = 0

for security in securities:
symbol = security.Value.Symbol
quantities[symbol] = security.Value.Holdings.Quantity
absoluteHoldingsValue = security.Value.Holdings.AbsoluteHoldingsValue

if self.targetsCollection.ContainsKey(symbol):
quantities[symbol] = self.targetsCollection[symbol].Quantity

absoluteHoldingsValue = (security.Value.Price * abs(quantities[symbol]) *
security.Value.SymbolProperties.ContractMultiplier *
security.Value.QuoteCurrency.ConversionRate)

sectorAbsoluteHoldingsValue += absoluteHoldingsValue

# If the ratio between the sector absolute holdings value and the maximum sector exposure value
# exceeds the unity, it means we need to reduce each security of that sector by that ratio
# Otherwise, it means that the sector exposure is below the maximum and there is nothing to do.
ratio = float(sectorAbsoluteHoldingsValue) / maximumSectorExposureValue

if ratio > 1:
for symbol, quantity in quantities.items():
if quantity != 0:
risk_targets.append(PortfolioTarget(symbol, float(quantity) / ratio))

return risk_targets

def OnSecuritiesChanged(self, algorithm, changes):
'''Event fired each time the we add/remove securities from the data feed
Args:
algorithm: The algorithm instance that experienced the change in securities
changes: The security additions and removals from the algorithm'''
anyFundamentalData = any([
kvp.Value.Fundamentals is not None and
kvp.Value.Fundamentals.HasFundamentalData for kvp in algorithm.ActiveSecurities
]);

if not anyFundamentalData:
raise Exception("MaximumSectorExposureRiskManagementModel.OnSecuritiesChanged: Please select a portfolio selection model that selects securities with fundamental data.")

 

 

This is the example code given in github; however when I tried to import it into my framework I am getting the error:

During the algorithm initialization, the following exception has occurred: NotImplementedException : IPortfolioConstructionModel.CreateTargets must be implemented. Please implement this missing method on <class 'Risk.MaximumSectorExposureRiskManagementModel'>
at QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper..ctor (Python.Runtime.PyObject model) [0x00052] in <4d1167518b5448538aa4de415e80e005>:0
at QuantConnect.Algorithm.QCAlgorithm.SetPortfolioConstruction (Python.Runtime.PyObject portfolioConstruction) [0x0001a] in <4d1167518b5448538aa4de415e80e005>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <b0e1ad7573a24fd5a9f2af9595e677e7>:0
at Initialize in main.py:line 36
:: self.SetPortfolioConstruction(MaximumSectorExposureRiskManagementModel() )
NotImplementedException : IPortfolioConstructionModel.CreateTargets must be implemented. Please implement this missing method on <class 'Risk.MaximumSectorExposureRiskManagementModel'>
at QuantConnect.Algorithm.Framework.Portfolio.PortfolioConstructionModelPythonWrapper..ctor (Python.Runtime.PyObject model) [0x00052] in <4d1167518b5448538aa4de415e80e005>:0
at QuantConnect.Algorithm.QCAlgorithm.SetPortfolioConstruction (Python.Runtime.PyObject portfolioConstruction) [0x0001a] in <4d1167518b5448538aa4de415e80e005>:0
at (wrapper managed-to-native) System.Reflection.MonoMethod.InternalInvoke(System.Reflection.MonoMethod,object,object[],System.Exception&)
at System.Reflection.MonoMethod.Invoke (System.Object obj, System.Reflection.BindingFlags invokeAttr, System.Reflection.Binder binder, System.Object[] parameters, System.Globalization.CultureInfo culture) [0x00032] in <b0e1ad7573a24fd5a9f2af9595e677e7>:0

 

It seems it wants something with iportfoliotarget, but I dont see that in the example or know exactly how I can go about fixing this error.

 

Say my target is 1/11 = .0909 weighting for each sector; how do I go about implementing that?

 

Best

 

Josh

Update Backtest







0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Hey Josh,

I could not reproduce your error. Can you please post the full project/backtest? If the project does not run, comment out what is producing the error and run it to create a backtest. 

0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Update Backtest





0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Loading...

This discussion is closed