I'm trying to make a portfolio construction model that only allows a set amount of equal weighted positions based on the total value of the portfolio. However, when a stock is shorted it adds money to the portfolio that then is included in the calculation for how many positions it can open that day, resulting in it trying to open more positions than it can. The code works great for only long positions, but I want to be able to open both short and long positions at the same time. Does anyone know of any way to solve this?

Here is my code:

import numpy as np



class MaximumPositionPortfolio(PortfolioConstructionModel):

   def __init__(self, algorithm, positionLimit):

       self.positionLimit = positionLimit

       self.percent = 1/self.positionLimit

       

   def CreateTargets(self, algorithm, insights):

       

       targets = []

       

       #calculates how big the position should be

       positionSize = algorithm.Portfolio.TotalPortfolioValue*self.percent

       #calculates how many positions to let through

       openPositions = np.floor(algorithm.Portfolio.Cash/positionSize)

       

       #counts how many positions have been opened

       count = 0

       for i in insights:

       

       		#closes positions with a flat insight

           if i.Direction == InsightDirection.Flat:

               targets.append(PortfolioTarget(i.Symbol, 0))

               

           #opens long positions

           elif i.Direction == InsightDirection.Up:

               if count < openPositions:

                   count += 1

                   targets.append(PortfolioTarget.Percent(algorithm, i.Symbol, self.percent))

           

           #opens short positions

           elif i.Direction == InsightDirection.Down:

               if count < openPositions:

                   count += 1

                   targets.append(PortfolioTarget.Percent(algorithm, i.Symbol, -self.percent))

                   

       return targets

   

   def OnSecuritiesChanged(self, algorithm, changes):

       pass