Shortable trades

To help you backtest a long-short portfolio in QuantConnect, you can follow these steps to ensure that the allowable weight for shorting a symbol is greater than or equal to the intended weight:

1. Initialize Algorithm: Set up your algorithm with the necessary start and end dates, initial cash, and add the securities you want to trade.

2. Calculate Order Quantity: Use self.calculate_order_quantity(symbol, W) to determine the number of shares you intend to short based on the weight W. This method calculates the order quantity to achieve target-percent holdings.

3. Check Shortability: For each candidate stock, use self.shortable(symbol, short_quantity) to verify if the calculated short quantity is shortable by the brokerage.

4. Retrieve Shortable Quantity: Use self.shortable_quantity(symbol) to get the maximum quantity that can be shorted for each symbol.

5. Compare Weights: For each symbol, compare the calculated order quantity with the shortable quantity to ensure the allowable weight is greater than or equal to the intended weight.

6. Select Eligible Stocks: Filter and select the top N stocks from your list of M candidates that meet the shortability criteria.

7. Execute Orders: Place market orders for the selected stocks using self.market_order(symbol, -short_quantity) to execute the short trades.

Here's a sample implementation:

class LongShortPortfolioAlgorithm(QCAlgorithm):
    def initialize(self):
        self.set_start_date(2020, 1, 1)
        self.set_end_date(2021, 1, 1)
        self.set_cash(100000)
        self.symbols = ["AAPL", "GOOG", "MSFT", "AMZN", "FB"]
        self.weights = [0.2, 0.15, 0.25, 0.1, 0.3]  # Example weights
        self.short_candidates = []
        for symbol in self.symbols:
            self.add_equity(symbol, Resolution.DAILY)
    def on_data(self, data):
        if self.short_candidates:
            return
        for symbol, weight in zip(self.symbols, self.weights):
            short_quantity = self.calculate_order_quantity(symbol, -weight)
            if self.shortable(symbol, short_quantity):
                max_shortable = self.shortable_quantity(symbol)
                if short_quantity <= max_shortable:
                    self.short_candidates.append((symbol, short_quantity))
        # Select top N stocks to short
        N = 3
        self.short_candidates = sorted(self.short_candidates, key=lambda x: x[1], reverse=True)[:N]
        for symbol, short_quantity in self.short_candidates:
            self.market_order(symbol, -short_quantity)

This code initializes a long-short portfolio, calculates the shortable quantity for each candidate stock, checks if the intended short weight is fillable, and executes the short orders for the top N eligible stocks. Adjust the self.symbols and self.weights lists according to your specific requirements.

Sources: Shorting - QuantConnect.com, Key Concepts - QuantConnect.com, A Risk Parity Approach to Leveraged ETFs, ROE Effect Within Stocks, Long Only Alpha Stream Algorithm