Hi everyone,

We replaced the insight collection of the portfolio construction models for the Insight Manager, so you can now manage insights from anywhere in your algorithm instead of just in the portfolio construction model. Now, when you create an insight, it's added to the insight manager. The Alpha, portfolio construction, and risk management models can cancel insights at any time, but the portfolio construction model is responsible for removing expired insights from the insight manager.

The issue was that when the portfolio construction models contained the insight collection and a risk management model liquidated a security in a framework algorithm, the corresponding insight was still active, so the portfolio construction model would re-enter the position. To solve this issue, we updated the risk management models so that when they liquidate securities, they also cancel all insights that are active for those securities. This way, the portfolio construction model won't re-enter the position.

The attached backtest demonstrates the new behavior. The backtest lasts 1 year, the algorithm emits 1 insight with a duration of 400 days, the risk management model liquidates the security after 16 days, and the algorithm doesn't re-purchase the security.

Best,Derek Melchin