What should an Alpha do?

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Can someone talk me through what an Alpha module is meant to do?

  1. In the tutorial, the Alpha interogates the universe of securities and generates positive or negative signals based on some Alpha value add logic. I get this.
  2. But reading through some of the example Alpha's in the the new algorithm wizard, the alpha's seem to barely do anything? They dont interogate the universe of securities, they dont even have generate insight code. At most they seem to pick out some market data (say interest rates) and try to identify if rates are going up. Now I can see why this might be a market signal but the existing alpha code doesnt do anything with it. It doesnt even generate a signal on the basis of rates going up.

Is the assumption in this second case, that I, as module user, will write in the insight component based on the universe of securities Im using and how that would respond to a rates increase? For example utilities universe and a growth stocks universe might have very different responses to a rates increase.

Have I understood this second group correctly? Not quite as plug and play as the lazy programmer initially thought?

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Hi Richard,

My understanding of Alpha modules is that they are there to be used as templates rather than used to write your program for you. If the Alpha modules actually contained very useful concepts (such as a highly accurate drawdown detector) then every Alpha would contain it and it wouldn't make it unique nor special.

I personally have only used the Universe Selection ones and utilize the API in the actual editor for the rest of my code. As for generating insight code here is the general method for doing that:

// Insight Constructor Arguments
// new Insight(symbol, period, type, confidence=null, magnitude=null, source=null, weight=null);
var insight = new Insight("IBM", TimeSpan.FromMinutes(20), InsightType.Price, InsightDirection.Up, 0.0025m, 1.0m, "MyAlphaModel", 0.25m);

as found here: 

https://www.quantconnect.com/docs/alpha-streams/creating-an-alpha

 

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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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