Maximum insight period

I currently have a longer-term buy/hold strategy which isn't set up as an alpha. Just monthly coarse/fine universe selection, criteria for liquidating a stock, and monthly rebalancing.

If I want to rework this strategy in the form of an Alpha, what's the max period I can set for the insight period? Can timedelta be in terms of months or years? Most Alphas I see are shorter duration (minutes).

Thanks in advance for your help with this!

Hi The Dude,

There is no limit to the Insight Period. However, Python timedeltas can’t be specified to a specific number of months or years, so I suggest Expiry.EndOfMonth(data.Time) or timedelta(days=22) for a monthly basis or timedelta(days=252) for a yearly basis. Furthermore, an Up/Down insight will be liquidated if followed by a Flat insight with a duration equal to or exceeding the duration of the previous Up/Down insight.

Best,
Shile Wen

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