Here the portfolio would have and equal weight of long and short postions so that the capital (ignoring borrowing costs) would be essentially zero.
The system does not currently provide for this situation. Two workarounds are possible:
Optimize 2 portfolios: 1 for short positions and 1 for long with the same capital amount.
Optimize the portfolio as long/short mixed and then adjust weightings for positions by the ratio of long and short so that their totals equate. This would be the preferred method in order to capture the correlation offsets of the long and short positions.
