MaximumDrawdownPercentPerSecurity Looks to be MaximumUnrealizedProfitPercentPerSecurity

[ari62]

I was just looking at the code for https://github.com/QuantConnect/Lean/blob/master/Algorithm.Framework/Risk/MaximumDrawdownPercentPerSecurity.py and I may be mistaken but I think that should be renamed MinimumUnrealizedProfitPercentPerSecurity, as it doesn't seem to use drawdown. For drawdown, i think you would need to keep track of min UnrealizedLossPercent as done here: https://github.com/IlshatGaripov/Lean/blob/c12868fa3f3c8145a752c86ebd05932adf983359/Algorithm.Framework/Risk/TrailingStopRiskManagementModel.py Not sure if the proper correction is to rename it or implement drawdown.

[ari62]

you can see the similarity to https://github.com/QuantConnect/Lean/blob/aaba566954e995053eb97656b05e06a3984fc9fb/Algorithm.Framework/Risk/MaximumUnrealizedProfitPercentPerSecurity.py as well

[jaredbroad]

Closing as doesn't seem like a bug. Implementing the drawdown percent. Happy to reopen if can explain further the issue.

[ari62]

Hi @jaredbroad The main functionality is:

maximumDrawdownPercent = -0.05
pnl = security.Holdings.UnrealizedProfitPercent
if pnl < self.maximumDrawdownPercent:
          # liquidate
          targets.append(PortfolioTarget(security.Symbol, 0))

This script uses unrealized profit, which has as its base the holdings value at time of purchase. Drawdown has as its base the highest holdings value (highest unrealized profit + original purchase holding value). This script does not keep track of nor use the highest holdings value. Hopefully that clarifies.