With my limited Zorro knowledge accumulated thus far I assume that "pairs trading" is possible with Zorro.
That is : taking at least 2 assets, whose spread is cointegrating (mean reverting), buying the under performer and selling the over performer. That old gag.
For that technially I need to asset() calls
create the spread series (diff of the 2 assets close prices)
And do some linear regression / kalman-filtering to get the legs correct.
Is this strategy feasible to implement ? I mean ever building block is given by Zorro as far as I see. Please correct me If I am wrong.
Best,
Attila