Want to use InsightWeighted Portfolio Construction model, with rebalancing disabled.

Want to update this with a few other things I tried:

rebalancingParam = None # rebalances every minute, as expected from default resolution

# 300 days
rebalancingParam = timedelta(60*24*300) # I still see rebalancing after 2 days or so

rebalancingParam = timedelta(days = 30) # similar to above
 

Hey Seersquant,

We have also added two new algorithm settings to give the PortfolioConstructionModel more control over rebalancing, try using the following in the algorithm initialization:

RebalancePortfolioOnInsightChanges: True if should rebalance portfolio on new insights or expiration of insights. True by default

RebalancePortfolioOnSecurityChanges: True if should rebalance portfolio on security changes. True by default

Can see an example at PortfolioRebalanceOnCustomFuncRegressionAlgorithm, this algorithm defines a custom rebalancing method that triggers rebalancing when the portfolio deviation from the target is above 2%.

Thanks Martin for the insights, that really helps. Just to carify a few things:

1. self.Settings.RebalancePortfolioOnInsightChanges = False;

Rebalance when there are any new active insights, on a symbol with existing investment or any other symbol in the universe (have tested this)

1. self.Settings.RebalancePortfolioOnSecurityChanges = False;

Rebalance, when ANY new securities are added to the universe?

Here is what I am trying to achive: Need a way to use insights just once, without rebalancing in the future. However, I do want to go flat when the insight expires.

        Jan 1st:  UP for AAPL for 30 days, at 10% portfolio
        Jan 15th: UP for AMZN for 30 days, at 10% portfolio
        
        Expectation: 
            Don't buy/sell any AAPL on Jan15th (its allocation might be higher/lowere than 10%, that's OK)
            Sell APPL on Feb 15th (after expiration of the Alpha signal, ~30 trading days)
 

I want this was a 3-10 day swing strategy, and rebalancing is triggering a lot of spurious orders I didn't expect.

Hey Seersquant,

1. Setting RebalancePortfolioOnInsightChanges to True will rebalance on new insights or expiration of insights. This means if you set this to False, no new portfolio targets will be created for AMZN and for your AAPL position, and the latter will not be rebalanced.

2. Setting RebalancePortfolioOnSecurityChanges to True will rebalance on security changes, meaning addition or removal of securities from universe. If set to True, your portfolio would be rebalanced every time that OnSecuritiesChanged is also called. For your purposes you should set this to False.

Hi Rahul,

With the suggested settings AAPL is still rebalanced on Jan 15th (when AMZN is bought). If I have 50+ holdings, and adding one more insight triggers a rebalance in all of them that creates and issue.

Hi all,

Following up on that thread, I have the same need: I too would like to use insight weighted potfolio construction model with rebalancing disabled.

Having tried all the syntactic possibilities (I think) to instruct InsightWeightingPortfolioConstructionModel to not rebalance (or rebalance only in a very very long time), I still see small rebalancing orders at least on a daily basis.

Now that may be because it rebalances on Insights expiries... My algo emits weighted insights which frequently overlap, so there are insights expiring on many days - but I would not want any additional action taken on insights expiries.

I have tried:

Hey Piere! For people who desire complete control over the rebalancing, we've abstracted this out to a function. With the function, you can control the precise moment it triggers a rebalance and even do cool things like rebalancing when your portfolio deviation reaches a specific error from what you want it to be. 

You can see a full example of this in this demonstration algorithm:

Hi Jared,

Thanks for the precision. I am coming back late on this thread because I wanted to include an example backtest illustrating my concern.

• My illustrative strategy repeatedly emits on each month start an up insight for SPY with weight 60%, and an up insight for TLT with weight 40%. I set a 35-day period for both.
• I use InsightWeightingPortfolioConstructionModel passing a rebalance function that just returns None.

Using the properties Rahul mentioned above to prevent rebalancing on your 35-day insight expiries.

Thank you Jared, I have now finally got this!

I had tried the Settings before, but missed the trick with that "trigger" boolean workflow in the rebalance function...

My enlightment was to realize that in that use case the portfolio model never acts on new insights, but instead we trigger a rebalance between all the then active insights at the time of insight emission...

I have tried this on my "real" strategy. It reduced the number of trades as expected, saving almost 10% in fees... Brillant!

I wonder if using self.Schedule.On(self.DateRules.MonthStart(self.spy), self.TimeRules.AfterMarketOpen(self.spy, 5), self.emitNewInsights) to emit insight is a recommended method?

Hi Li Mike

You may also set up an AlphaModel:

def Initialize(self):
    self.AddAlpha(CustomAlphaModel())
    
class CustomAlphaModel(AlphaModel):
    def __init__(self):
        self.Rebalance = datetime.min
        
    def Update(self, algorithm, data):
        insights = []
        if self.Rebalance <= algorithm.Time: return insights 
        
        spy = data.Bars["SPY"].Close
        insight = Insight.Price(...)
        insights.append(insight)
        
        # Set rebalance time beyond this month's end
        self.Rebalance = Expiry.EndOfMonth(algorithm.Time)
        return insights

Best
Louis