ConstantAlphaModel Parameters

self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, None))

These parameters are set when adding ConstantAlphaModel to the Framework Algorithm, what do the 20 and 0.025 inputs represent?

Update Backtest

The parameters for the model are:

ConstantAlphaModel(type, direction, period, magnitude = None, confidence = None)

So the 20 represents the period over which this insight is expected to come to fruition. And the 0.025 represents the magnitude, or by how much you think the price will change by. In this ConstantAlphaModel the price is predicted to go up by 2.5%.

This link explains Insights in greater details.




Update Backtest


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