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Why so many orders for so few insights?

Hello. I'm trying to understand why a simple EMA-cross framework strategy is causing so many orders to be filled. In this case I have only 5 insights in the backtesting period. 

Date Time Symbol Direction Period Direction Score Magnitude Score Confidence Weight
2016-01-03 17:01:00 AUDCHF Up 50d 00h:00m:00s 0.00 % None None None
2016-01-13 00:00:00 AUDCHF Down 50d 00h:00m:00s 0.00 % None None None
2016-03-07 00:00:00 AUDCHF Up 50d 00h:00m:00s 0.00 % None None None
2016-06-13 00:00:00 AUDCHF Down 50d 00h:00m:00s 0.00 % None None None
2016-07-03 17:01:00 AUDCHF Up 50d 00h:00m:00s 100.00 % None None None

However there are over 160 orders.

Date Time Symbol Type Price Quantity Status Tag
+2016-01-03 17:01:00 AUDCHF Buy Market Fill: 0.73024 CHF 1369145 Filled
+2016-01-04 17:01:00 AUDCHF Sell Market Fill: 0.72029 CHF -143 Filled
+2016-01-05 17:01:00 AUDCHF Buy Market Fill: 0.72261 CHF 9314 Filled
+2016-01-06 17:01:00 AUDCHF Sell Market Fill: 0.71208 CHF -1865 Filled
+2016-01-07 17:01:00 AUDCHF Sell Market Fill: 0.69602 CHF -20412 Filled

...

This is using the ImmediateExecutionModel which I think with only one currency and no risk model should only be issuing an order when a new signal arrives?

Also, I notice that the 5th insight has a direction score of 100% even though I don't emit any direction score in the alpha. Does anyone know why that might be?

Thanks for your help.

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It is due to the EqualWeightingPortfolioConstructionModel's rebalancing parameter here. It defaults at daily, and setting it to None should work.

Direction scores are automatically computed based on whether changes in symbol prices match the predicted Direction at the time of expiry.

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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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