Buy stock when there is insight up, no rebalance. However, it doesn't work as expected

Same problem. 

If I set self.Settings.RebalancePortfolioOnInsightChanges = False, self.Settings.RebalancePortfolioOnSecurityChanges = False, Then my EqualWeightingPortfolioConstructionModel won't fire. I think it should fire daily because my resolution is daily.

Same problem. 

If I set self.Settings.RebalancePortfolioOnInsightChanges = False, self.Settings.RebalancePortfolioOnSecurityChanges = False, Then my EqualWeightingPortfolioConstructionModel won't fire. I think it should fire daily because my resolution is daily.

i am thinking rebalancing is the trigger point to build up portfolio. So, we need to ensure rebalancing is on to purchase the stock. But my use case is purchase different stock everyday and i don't want to rebalance my existing stock. 

It seems like i got no talent to create my own portfolio construction model for that, i am thinking to give up the framework but using the classic way to do so

Would love to get some assistance on this same issue. Over half of my trades are rebalances triggered by taking a new position. Makes it impossible to maintain multiple positions without generating half a dozen rebalancing trades every new directional insight.

I tried updating within the construction model for existing positions' targets to become the current “total position size” / “total portfolio value”, but this is fruitless because the rebalance is triggered upon generating an insight in the alpha model, which occurs beforehand.

While I'm quite happy to help finance my broker's third yacht, this makes it difficult to cleanly understand the performance of trades. i.e.:

I took a long position on stock ABC and exit in 14 days, but triggered a dozen +/- 1 share rebalancing trades in between. Now I have to calculate an active-time-and-price-weighted-average-entry-condition to calculate profit statistics.

i used several hours to go through the doc and source code, and i ended up with customize my own CreateTargets function to trigger a purchase when there is an insight.

You can go to the PortfolioConstructionModel.cs and you will know why it behalf like that.

https://github.com/QuantConnect/Lean/blob/master/Algorithm/Portfolio/PortfolioConstructionModel.cs

code snippet as below for my customization that take the insight the purchase stock, and no rebalancing due to a new purchase

    def CreateTargets(self, algo, insights):
        targets = []

        if (insights.Length > 0):
            self.insightCollection.AddRange(insights)

        percents = self.DetermineTargetPercent(insights)

        for insight in insights:
            percent = float(percents.get(insight))
            algo.Log(f"CreateTargets Add -> {insight.Symbol} {insight.Direction} {percent} ")

            if (insight.Direction == InsightDirection.Up):
                target = PortfolioTarget.Percent(algo, insight.Symbol, percents.get(insight))
                if target != None:
                    targets.append(target)

        expiredInsights = self.insightCollection.RemoveExpiredInsights(algo.UtcTime);

        for insight in expiredInsights:
            algo.Log(f"CreateTargets Expired -> {insight.Symbol} {insight.Direction} ")
            target = PortfolioTarget.Percent(algo, insight.Symbol, 0)
            if target != None and algo.Portfolio[insight.Symbol].Invested:
                targets.append(target)


        return targets

Hi All

The rebalancing behavior is governed by the PortfolioConstructionModel. You can take a look at their docs. Most of them have a “rebalance” argument which decides the rebalancing frequency. You may set it to a very long period:

self.SetPortfolioConstruction(your_selected_model(rebalance=Expiry.EndOfYear)	# rebalance per year
self.SetPortfolioConstruction(your_selected_model(rebalance=lambda _: datetime.max)	# this makes sure it never rebalance

Best
Louis