Skip to main content

assign_long_short_exposure

Function assign_long_short_exposure 

Source
pub fn assign_long_short_exposure(
    lf: LazyFrame,
    timestamp_col: &str,
    _symbol_col: &str,
    cs: &CrossSectionalConfig,
    exposure_col: &str,
) -> Result<LazyFrame, BacktestError>
Expand description

Assign signed exposure from cross-sectional factor ranks per timestamp.

Returns a LazyFrame with exposure_col added (equal-weight within long/short legs).