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I am trying to understand the insights to portfolio construction in the Competition. I cloned the sample submission and then I just copied over the RSI Model.
The RSI alpha model returns insights (which the backtest shows), but the portfolio construction does not occur. I am curious what to do to go from Insights to actual holdings. (I did add a constant weight, which was not in the Insight by default, and that did not do anything).
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James Maslek
To past me:
For an Insight:
Insight.Price(symbol, self.insightPeriod, InsightDirection.Up,None,None,None,Weight)Not just the symbol,Period,Direction, weight
Shile Wen
Hi James,
The reason the insights are not generating the portfolio is because on line 70, the insight weight calculated will always be 0 with more than one insight because of integer truncation. To fix this, we need to have one of them be a float so the integer truncation does not occur, and one way to do this is by changing 1 to 1.0. Next, we need to modify the Insight.Price function arguments to include weighting, as currently the wt value is being used for magnitude.
I’ve shown the necessary changes in the attached backtest.
Best,
Shile Wen
James Maslek
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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