This is the concept:
There is a long only strategy which has a varying number of active long positions, say a long position of $1000 on day one, $2000 on day two and back to $1000 on day three.

This strategy is converted into a market neutral strategy by hedging the open long positions with a short ETF like SPXU (Three times S&P500 short ETF).

This means the strategy buys SPUX for $330 on day one. Buys more SPUX for $330 on day two and sells SPUX for $330 on day three.

It is relatively simple to implement this with SetShareSize() for Raw Profit Mode and constant equity.

I looked into PosSizers and SplitPosition. But I can't seem to find a solution to code the behavior above in Portfolio Simulation Mode. (Long positions are Percent of Equity)

Any ideas?

I came up with a partial solution:

For every position successfully opened in the original long-only strategy I could open a hedge position and link both positions via EntryName or Tag.

If a long position gets closed I can search the matching hedging position and close this position as well.

Drawbacks:
* This works for a 1:1 short ETF. For the 3:1 short ETF it needs a PosSizer to work correctly. (Not a big Problem)
* because the hedge is opened and closed for every long postion, the estimated trading costs are higher than with the original idea of enlarging and downsizing a single hedge position.
* WealthSignals Publisher is able to compress the many entry signals and the many exit signals but will still send a bigger entry and a bigger exit signal at the same time.

Are there any possible improvements?