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Hi QuantConnect team, I was playing around with a Pairs Trading strategy available in the Strategy Library and in one backtest the capacity turned out to be less than 1 cent!!! The strategy is not trading the most liquid assets but I think there is something wrong with the calculations. Would you mind looking into it?
Link to the strategy: https://www.quantconnect.com/tutorials/strategy-library/pairs-trading-with-country-etfs
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Insight weighting requires the insights to have weight as per the insight definition in the documentation:
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# Skipping magnitude, confidence and source model and assigning 25% to weighting.
insight = Insight.Price("IBM", timedelta(minutes = 20), InsightDirection.Up, None, None, None, 0.25)Adding a weight to your insights will enable the weighting module to act, otherwise it apparentely defaults to 0 weight.
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