I want to go long pipline-A and go short pipeline-B in a contest Algo. Simple enough! Is this even possible?
I tried to split out an algo that had previously met all contest constraints . . . into) 1 long pipeline-A and 1 short pipeline-B and then push those to 1 short order_optimal_portfolio and 1 long order_optimal_portfolio - each with their own set of constraints. When I tried this inside the same rebalance it did manage to go long/short kind of (dollar neutral went out of balance), but it didn't meet constraints anymore and most puzzling of all, in backtest it failed to meet Tradable Universe constraint even though of course QTradableStocksUS was used by both pipeline screeners. All I had changed was running 2 order_optimal_portfolio's instead of 1. I also tried to accomplish this goal by doing 2 schedulers - 1 scheduler rebalanceShort and 1 scheduler rebalanceLong, but only 1of the 2 schedulers seemed to run.
Thanks in advance,
Your pal Stephan