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Subsetting Shorts from Positions
Sam Berglin
posted Apr 21, 2020
Seeking Help Tools and Tips

Hello! I am trying to subset context.portfolio.positions to only include longs or shorts in the Algorithm IDE. My current code, which doesn't do any subsetting, is 

current_holdings = context.portfolio.positions  
long_rule = 'top_quality_momentum & (trend_up or index in @current_holdings)'  
short_rule = 'bottom_quality_momentum & (not trend_up or index in @current_holdings)'  
stocks_to_hold = df.query(long_rule).index  
stocks_to_short = df.query(short_rule).index

Is it possible to only view short or long positions from context.portfolio.positions?

Thanks!

1 response
Sam Berglin
Apr 22, 2020

I found one solution by checking out the Zipline source code. 

current_holdings = context.portfolio.positions  
long_assets = [asset for asset, position in current_holdings.items() if position.amount > 0]  
short_assets = [asset for asset, position in current_holdings.items() if asset not in long_assets]  
long_rule = 'top_quality_momentum & (trend_up or index in @long_assets)'  
short_rule = 'bottom_quality_momentum & (not trend_up or index in @short_assets)'  
stocks_to_hold = df.query(long_rule).index  
stocks_to_short = df.query(short_rule).index
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