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Allocation of Long and Short positions?

Apparently my approach to this is all wrong. My goal is automatically adjust the percentage of my portfolio which is long and the percentage which is short. It appears to be working on the long side, but not for shorts.

For example, lets say I would like to allocate 70% of my portfolio for a long position in the SPY, and the remaining 30% for a short position. This is my attempt..

    target_value_amnt_long = .70  
    target_value_amnt_short = .30  
    if target_value_amnt_short > target_value_amnt_long:  
        order_target_percent(context.stock, -target_value_amnt_short)  
    if target_value_amnt_long > target_value_amnt_short:  
        order_target_percent(context.stock, target_value_amnt_long)  

This is after a 50-50 allocation starting out

        order_target_percent(context.stock, .5)  
        order_target_percent(context.stock, -.5)  
2 responses

Your code is setting two static variables, and then your if statements are comparing the two static variables. The first if statement is always false, and the second if is always true.


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Sorry, that's just for example. The variables are actually dynamic in the algo