Consistent Losses With Alpha Framework - Is It Slippage?

Hi Asher

There could be a lot of reasons for losing, even if you switch the direction of the sign. Here are a few insights as examples you could think of:

• Given that minute resolution and EqualWeightingPortfolioConstructionModel were used, the algorithm could be kept rebalancing every minute when new insights were emitted or the universe changed. To reduce unnecessary rebalancing that causes problems on trading signals length and commission fee. You could set the PCM not to rebalance given the above-mentioned event and change its rebalancing period:

# control rebalancing period
pcm = EqualWeightingPortfolioConstructionModel(timedelta(minutes=30))    # say you want rebalance only every 30 minutes
# control rebalancing behaviour
pcm.RebalanceOnInsightChanges = False
pcm.RebalanceOnSecurityChanges = False
self.SetPortfolioConstruction(pcm)

• You're including a large universe with uncontrollable behavior. Some of them could be very illiquid, costing you a big bid-ask spread price slippage. You may consider using

self.SetExecution(SpreadExecutionModel(0.005))    # say you want to have bid-ask spread less then 0.5% of current price

Best
Louis Szeto