class JumpingTanAnguilline(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 7, 1)
        self.SetEndDate(2021, 8, 1)
        self.SetCash(100000) 
        self.AddEquity("SPY", Resolution.Minute)
        
        self.AddAlpha(CustomTrailingStopForFlatInsightAlpha(0.01))
        
        self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

class CustomTrailingStopForFlatInsightAlpha(AlphaModel):
    
    def __init__(self, maximumDrawdownPercent = 0.05):
        self.maximumDrawdownPercent = -abs(maximumDrawdownPercent)
        self.trailingHighs = dict()
        
    def Update(self, algorithm, data):
        insights = []
        
        # entry for test
        if algorithm.Time.day == 12 and algorithm.Time.hour == 9 and algorithm.Time.minute == 40:
            insights.append(Insight.Price("SPY", Expiry.EndOfMonth, InsightDirection.Up))
        
        # We can move the whole TrailingStopRiskManagementModel here for checking and emitting flat insight
        for kvp in algorithm.Securities:
            symbol = kvp.Key
            security = kvp.Value

            # Remove if not invested
            if not security.Invested:
                self.trailingHighs.pop(symbol, None)
                continue

            # Add newly invested securities
            if symbol not in self.trailingHighs:
                self.trailingHighs[symbol] = security.Holdings.AveragePrice   # Set to average holding cost
                continue

            # Check for new highs and update - set to tradebar high
            if self.trailingHighs[symbol] < security.High:
                self.trailingHighs[symbol] = security.High
                continue

            # Check for securities past the drawdown limit
            securityHigh = self.trailingHighs[symbol]
            drawdown = (security.Low / securityHigh) - 1

            if drawdown < self.maximumDrawdownPercent:
                # liquidate
                insights.append(Insight.Price(symbol, Expiry.EndOfMonth, InsightDirection.Flat))

        return insights