Discussion Forum

The PortfolioConstructionModel is meant to receive Insight objects from the alpha model and create PortfolioTargets. If the algorithm needs to trade/rebalance on a monthly basis, try emitting insights once a month and then the PortfolioConstructionModel will create the targets/rebalance on a monthly basis. One possibility could be using a boolean that stops any trading decisions from being made and change the boolean to True once a month,

What triggers the Update method in Alpha Model? And why isn't it possible to user-define the frequency with which it is called? 

Hi Filib,

The Update method gets called as frequently as the smallest resolution data in your Universe (i.e. Hour, Minute, etc.). You can force it to ignore data slices and only run the code within at certain times, and I've added an example of this to your post here.

Jack Simonson Could you please post your code/backtest here?

Hello Grimreaper,

Thanks for your support! You could find Jack's code and backtest, the accepted answer, in this link by clicking buttons of the chart, statistics, and code  

If there's a problem, please let me know. Hope it helps!

Hi There,

i am facing the same issues.

In the w/o framework environment the frequency of the universe construction can be easily controlled by boolean variables combined with the time object. 

Accordingly, the rebalancing can be easily controlled within the OnSecirityChanged method and is automatically synchronized with the universe construction. 

Now, within the framework 

• UniverseSelectionModel
• AlphaModel
• PortfolioConstructionModel

are called in the resolution of the algorithm indipendently from each other.

E.g. the PortfolioConstructionModel is called even though there was no change in the AlphaModel, and rebalances the portfolio based on the price changes. 

Question1: What is the best way to have a rebalancing e.g. once a month or twice a year synchronized with the method OnSecurityChange.

Question2: What is the best way to calculate the alpha period time-span-value if it should be just valid until the next universe construction. e.g. reconstruction/rebalancing on the 1st Jan. and on the 1st July.

Cu Eugene

Hi Eugene,

I'm attaching a backtest which just rebalances on security changes using the EqualWeightingPortfolioConstructionModel.

Also, it might be interesting for you to take a look at this rebalancing method PortfolioRebalanceOnCustomFuncRegressionAlgorithm which rebalances based on the total deviation of securities from their target. There are other examples too, for specific date rules you can see PortfolioRebalanceOnDateRulesRegressionAlgorithm which rebalances every Wednesday.

Hope it helps!

Hi Martin,

thx. that helped!