Modifying Insight Duration within Bootcamp: Algorithm Framework by Mark Reeve

Mark Reeve INVESTOR

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Hi There,

It is my understanding that when using the Algorithm Framework, Holdings will be implicitly Liquidated simply when an AlphaModel Insight signal duration has been met.
I have been playing around with the code already provided in the Bootcamp: Algorithm Framework.
I tried modifying the Insight timedelta() argument (within the alpha model) and then, when that failed within the PortfolioConstructionModel as an argument passed to the EqualWeightingPortfolioConstructionModel.

This is how I modified the AlphaModel Insight timedelta() from 1 to 22:

return Insight.Group([Insight.Price(ordered[0]['symbol'], timedelta(22), InsightDirection.Up)

And this is how I modified the duration within the PortfolioConstruction model when the above failed to yield a result:

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(rebalancingParam = timedelta(22)))

Both of these modifications resulted in the same number of trades as the original algorithm Insights, which were emitted daily.

Can you see what I am doing wrong? Is my understanding of Insight duration misguided? How should I stop the churn of daily trading?

Thanks in advance!

Update Backtest

Mark Reeve

Accepted Answer

Update Backtest

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Derek Melchin

STAFF Pro ,

Hi Mark,

The reason the algorithm generates insights every day is because Update is called daily and always returns 2 insights. We can adjust this to rebalance monthly by first utilizing the standard equal-weighting portfolio construction model.

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())

Next, when we initialize our alpha model, it's month attribute is set to -1.

self.SetAlpha(MOMAlphaModel())

Then, in Update, we only return insights if a new month has started. We can achieve this by adding a guard to the top of the function definition.

if self.month == algorithm.Time.month:

    return []

self.month = algorithm.Time.month

See the attached backtest code for a full working solution.

Best,
Derek

Mark Reeve INVESTOR

Update Backtest

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