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Alpha for Scaling in?

Hi

My question is about how to implement scaling-in for an Alpha in the Algorithm Framework. For example, I want to scale into a break-out like this: 25% on the first break of the entry level, then an additional 25% each time price breaks 0.5 x ATR further.

I think I could use one of the Insight parameters to indicate the relative position size, but I want to use them for their intended purpose. I understand magnitude refers to the expected price move, but what is the intended purpose of confidence and weight? Would it cause compatibility issues (e.g. for Alpha scoring) to use them for this relative position size purpose?

Alternatively, is it better to issue a new Insight for each partial entry, i.e. 4 separate Insights, with the Portfolio Construction module knowing that each Insight is only 25% of the maximum position size?

Any advice welcome.

Cheers, Tony

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Hi Tony, 

Thank you for your post. I would recommend you use different weights in these four insights to be in accordance with your trading strategy. For example, you could set 0.25 weight in the first insight and 0.5 in the second one, etc. Hope this helps! 

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thank you, Daniel.

Tony

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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