Algo not shorting when expected by Miguel Palanca

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Algo not shorting when expected

Last comment by - July 2021

Algo not shorting when expected

Algorithm not shorting as expected in long-short portfolio. Help needed with different universe.

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Algo not shorting when expected

Miguel Palanca | MP Holdings Co. | July 2021

Hi all,

I'm attempting to try and understand more about the framework and how it behaves when using a long short portfolio. I found a great start point created by @Emilio Freire Bauzano.

However, when I attempted to use a different universe (SMID), the algorithm seems to not want to open short positions. The algorithm works as intended when using Emilio's universe. I attempted to merge that universe with the new one (LiquidGrowthUniverse), and it works for opening Long Positions.

Any help would be sincerely appreciated.

Thank you,

Miguel

Author

Miguel Palanca

July 2021

Upvote

Louis Szeto

QuantConnect | July 2021 |

Accepted Answer

Hi Miguel

The reason for not shorting properly is because the correct value of maxNumberOfPositions is not passed to "SMIDGrowth". As a result, the universe will only return 20 equities, which is the default value of maxNumberOfPositions in the universe selection model, but not 40 as calculated by positionsOnEachSide*2. So the alpha model is trying to emit both long and short insight for the same equity (20 up 20 down in total).

To solve the problem, passing the desired number of maxNumberOfPositions argument to overwrite the default value for "SMIDGrowth" when you call the universe selection model in main.py will do.

self.SetUniverseSelection(SMIDGrowth(benchmark = benchmark, 
                                     maxNumberOfPositions = maxNumberOfPositions,
                                     rebalancingFunc = rebalancingFunc))

Best,
Louis Szeto

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