Your guess is right about all the weight going into the stocks with the highest alpha. Under the hood, the
MaximizeAlpha objective will return the optimal portfolio that maximizes alpha within the provided constraints. If no constraints are provided, you can expect it to try to take a single position worth the whole portfolio value because technically, that should have the most alpha. Adding constraints will prevent this behavior and allow you to place more bets with less weight. In the code you shared, you set a maximum position concentration of 50% so that's why you're seeing such a low number of names being traded. If you want to increase the diversity (generally a good idea!), you should try enforcing a stricter position constraint, or add other constraints like market neutrality or sector neutrality. I shared an algo that does something like this recently.
I hope this helps.
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