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If I issue insights with period durations, can multiple insights run at the same time? I assume that an up insight issued before an up insight expires effectively extends the up period. What happens if I issue an insight for up the next 10 bars, and then 5 bars later, issue an insight for down for the next 10 bars? There would be a five bar overlap with both an up and down insight? Would the effective end result be up for 5 bars, flat for 5 bars and down for 5 bars? Is there a way to cancel in insight before the duration is finished?
If I issue an insight with no period, does the next insight issued automatically take the place of this insight? What if I issue an up insight with no period, and then issue an insight with an up period, does the orginial insight get replaced?
Jared Broad
Hey Sam -- I don't recommend using the framework if you need that granular control on the trading. The framework abstractions make most of your questions above a concern of the portfolio construction model. If you're running a single strategy for a personal account; its simpler and faster to just use the classic to trade precisely how you need.
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.
Sam Smucker
I'm just trying to understand how it works so that my assumptions are accurate related to insights so I can fit what I do within the framework. If I understand you correctly, I can issue as many insights as I want and it is up to the portfolio model as to what happens with them?
What is the standard portfolio model handling of insights?
Alexandre Catarino
Hi Sam Smucker ,
Precisely. While insights push for portfolio changes, the portfolio construction model (PCM) interprets the insights. A PCM can drop some insights (for instance, insights with low Confidence or high Magnitude) or even can create no portfolio targets at all (e.g.: NullPortfolioConstructionModel which is the default PCM).
In the Alpha Stream Competitions, we release a template that uses the EqualWeightingPortfolioConstructionModel which is popular and may be seen as standard PCM. You probably want to use it as a starting point.
Fabien
To answer the question, the base PortfolioConstrutionModel class only uses the last active insight for a security, so essentially it is a replace. Here is the source code.
Stinus Hojensbo
the question still doens't seem to have been answered? I guess the answer is "it depeneds on the the PCM" but it would still be nice to know if you can cancel an insight and how the mixed insights are intepret for say the EqualWeightingPortfolioConstructionModel.Â
Jared Broad
"would still be nice to know if you can cancel an insight" -- we agree this is a nice feature but it's not integrated into LEAN at this time.
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.
Sam Smucker
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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