Create a Long/Short portfolio
Nobody has claimed this yet.
- Dominant language
- Python
- Stars
- 1.2k
- Forks
- 170
- PR merge metrics
- No merged PRs in 30d
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 ?
Contributor guide
No contributing guide indexed for this repository
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
No files, tests, or entry points are named in the issue. Start by locating the allocator APIs and examples, then clarify the expected long/short weighting behavior and add coverage showing equal long and short notional with neutral assets allowed.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- python, pytorch
- Domain
- fintech-quant, machine-learning
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 20/100