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