Create a Long/Short portfolio #151
Description
Hi !
I'm trying to use deepdow to create long short strategy. Each day I want to risk the same amount of notional on the short leg than the long leg. If I was in a discrete weight model with 10 asset then each day I could try for example the strategy where long position for the top 3 asset and short position for bottom 3 asset given a score for each asset. So I need deepdow to learn how to weight asset to have one short basket and one long basket. I can also have weight close to zero for some asset i do not want either in short or long basket.
Do you have some advise about the kind of allocator i should use please ?