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Hello,
self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel()) fails to execute insrtuctions when I use the code shown below however self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel()) works. I don't know why this is happening, any help will be greatly appreciated.
Thanks
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Insight weighting requires the insights to have weight as per the insight definition in the documentation:
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# Skipping magnitude, confidence and source model and assigning 25% to weighting.
insight = Insight.Price("IBM", timedelta(minutes = 20), InsightDirection.Up, None, None, None, 0.25)Adding a weight to your insights will enable the weighting module to act, otherwise it apparentely defaults to 0 weight.
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