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Hi,
I am looking for help accessing insights within my rebalance function. I am using confidence weighted portfolio construction, but want to rebalance ONLY on each new alpha. Currently, it does this every 1d, since that is my resolution. I also am planning on adding some more complex logic using the insights so want to access the insights from my AlphaModels in general not just set the above stated logic. I am using QCAlgorithmFramework + the AddAlpha function to add my alphas.
Thanks!
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Shitcoin Purchaser
Update:
I managed to remove regular rebalancing by passing a rebalance function which does nothing. Still unable to access insights, but I suspect I need to create a custom portfolio construction module (which I plan on doing anyways so it is fine)
Louis Szeto
Hi Shitcoin Purchaser
The Update() function in AlphaModel was meant to emit new insights. To access active insights for converting the trading signals into actual portfolio target, DetermineTargetPercent() in  PortfolioConstructionModel should be used.
Best
Louis
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.
Shitcoin Purchaser
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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