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Update: I took the framework tutorial in the boot camp because I know that works and then modified that code little by little until it matched the code from the backtest I posted above and then it started working appropriately. Guess there was a small mistake somewhere I don't notice?

Hi Trevor, 

you haven't specified the resolution of your Benchmark (SPY)

self.SetBenchmark(self.AddEquity('SPY').Symbol)

By default it gets Resolution.Minute and thus your Update() method get called every minute. In addition, you haven't specify a rebalancing method/frequency for you EqualWeightingPortfolioConstructionModel so that your algo is rebalancing the portfolio every minute. I think this explains the many insights. 

When we set the Resolution of SPY to Resolution.Minute there will be only 2 insights per day. 

self.spy = self.SetBenchmark(self.AddEquity('SPY', Resolution.Daily).Symbol

Is that what you were looking for?

A monthly rebalancing can be obtained by passing a rebalancing timer function to your EWPCM, for example: 

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: Expiry.EndOfMonth(time), portfolioBias = PortfoloioBias.LongShort)
self.Settings.RebalancePortfolioOnInsightChanges = False
self.Settings.RebalancePortfolioOnSecurityChanges = False

For demonstration purposes I've changed your insight durations to Expiry.EndOfMonth and added to following lines to make sure the alpha model emit insights once a month:

# in __init__
self.month = None

# in Update():
if self.month == algorithm.Time.month: return []
self.month = algorithm.Time.month

Of course there are other ways for rebalancing available. The EWPCM can also handle a more complex rebalancing function. If you dont't want to rebalance at all just use:

self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel(lambda time: None))

Ah, that explains it. Thank you so much this is super helpful!