Hi
Further to thread linked below, what is the intent of the Insight period when an alpha is submitted for assessment? If a portfolio construction module is not submitted, what would a user of the alpha do when the period expires? Flatten position? Wait for a new Insight? I ask so I can be consistent with the design intent of the framework.
Cheers, Tony
https://www.quantconnect.com/forum/discussion/5495/timedelta-on-insights/p1
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The insight period is the timeline over which you expect the prediction magnitude to be reached. At the end of the insight (expiry), the insights are no longer valid and you would flatten the position.
This is managed for you in the execution models provided by QuantConnect. You can pull in one of these models to quickly get this behavior.
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.
Thanks, Jared
So this is effectively a time-stop on every signal. To to follow a good trend when the duration is unknown, I think the Alpha needs to either use a very long Insight period or issue another insight with the same parameters before the original one has expired. Correct me if I've misunderstood.
Cheers
Tony
Correct; however I'd think about it another way -- the horizon for all predictions is finite. If it's raining I can say with 99% confidence it'll continue raining for the next 10 seconds. Expected returns are based on a prediction of the returns.
You can reissue the predictions at any moment, for any period of time. They can be made to overlap, or not. In periods where there's no overlap the portfolio construction models exit all positions as there is no signal to trade.
It is a different mindset from most retail trading but its more suitable for a professional scaled strategy combining multiple alpha factors, weighing many factors in the portfolio construction and execution.
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.
Many thanks, Jared
Yes, a different mindset is needed.
Cheers, Tony
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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