I currently have a longer-term buy/hold strategy which isn't set up as an alpha. Just monthly coarse/fine universe selection, criteria for liquidating a stock, and monthly rebalancing.
If I want to rework this strategy in the form of an Alpha, what's the max period I can set for the insight period? Can timedelta be in terms of months or years? Most Alphas I see are shorter duration (minutes).
Thanks in advance for your help with this!
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Hi The Dude,
There is no limit to the Insight Period. However, Python timedeltas can’t be specified to a specific number of months or years, so I suggest Expiry.EndOfMonth(data.Time) or timedelta(days=22) for a monthly basis or timedelta(days=252) for a yearly basis. Furthermore, an Up/Down insight will be liquidated if followed by a Flat insight with a duration equal to or exceeding the duration of the previous Up/Down insight.
Best,
Shile Wen
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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