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Ehsan B INVESTOR

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In the Fundamental Factor Long Short Strategy tutorial here is the part of rebalance function

    # Assign each stock equally. Always hold 10% cash to avoid margin call

    for i in self.long:

        self.SetHoldings(i,0.9/self.num_fine)



    for i in self.short:

        self.SetHoldings(i,-0.9/self.num_fine)

shouldn't it be:

    # Assign each stock equally. Always hold 10% cash to avoid margin call

    for i in self.long:

        self.SetHoldings(i,0.45/self.num_fine)



    for i in self.short:

        self.SetHoldings(i,-0.45/self.num_fine)

if .9 does work, will .45 work too?

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Ehsan B

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Ehsan B

110 ,

what if i want .7 of my portfolio to long and .3 of portfolio to short?

Adam W

3.8k ,

I think you are right, self.num_fine = 10 in that example and the universe filters out 10 Longs and 10 Shorts.SetHoldings should have 0.45 in the numerator if the intention is to allocate 50% Long and 50% Short for a total of 90% unlevered portfolio buying power.Alternatively, maybe the universe was intended to be defined like:self.long = [x.Symbol for x in sorted_symbol[:int(self.num_fine/2)]]

so that the Longs / Shorts add up to self.num_fine.

Anyways, for your follow up question:

def FineSelectionFunction(self, fine):



    self.long = [x.Symbol for x in sorted_symbol[:int(self.num_fine/2)]]

    self.short = [x.Symbol for x in sorted_symbol[-int(self.num_fine/2):]]

    return self.long+self.short



def rebalance(self):



    # Number of Longs/Shorts symbols in filtered tradable universe

    numLongs = len(self.long)

    numShorts = len(self.short)    



    # Portfolio allocation between Long/Short

    longAllocation = 0.7

    shortAllocation = 0.3

    marginBuffer = 0.1



    # Long allocations

    for symbol in self.long:

        self.SetHoldings(symbol, 

                         (longAllocation - marginBuffer/2) / self.numLongs

                         )

    # Short allocations

    for symbol in self.short:

        self.SetHoldings(symbol, 

                         - (shortAllocation - marginBuffer/2) / numShorts

                         )

Ehsan B INVESTOR

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