Long & Short

[pedrorjbr]

I would like to execute a long on a set of security and short in a index, like S&P. The short should be the same size of the long position.

Does anyone has a sample of that? Is that possible?

[boyac]

@pedrorjbr it's possible though. I used to construct a similar strategy by long/short indices. I used a target weight to achieve that, fyi. It's a long time ago, so I don't have the script/example left. And bt package has continue to evolve, maybe there are other functions that can be applied, too. Hope this helps.