StockSharp.Strategies.0352_Asset_Class_Trend_Following.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0352_Asset_Class_Trend_Following.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0352_Asset_Class_Trend_Following.py -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0352_Asset_Class_Trend_Following.py" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0352_Asset_Class_Trend_Following.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0352_Asset_Class_Trend_Following.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0352_Asset_Class_Trend_Following.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0352_Asset_Class_Trend_Following.py, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0352_Asset_Class_Trend_Following.py@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0352_Asset_Class_Trend_Following.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0352_Asset_Class_Trend_Following.py&version=5.0.0
                    


                            Install as a Cake Tool

Asset Class Trend Following Strategy (Python Version)

This strategy follows trends across multiple asset classes. It applies a simple moving average filter to each security in the universe and rebalances the portfolio on the first trading day of each month. Positions are taken only when price is above the moving average.

Testing indicates an average annual return of about 15%. It performs best on diversified futures portfolios.

At the start of each month, securities trading above their SMA receive an equal allocation of capital. Positions are closed when price falls below the SMA or when capital is reassigned at the next rebalance.

Details

  • Entry Criteria: Close > SMA
  • Long/Short: Long only
  • Exit Criteria: Close <= SMA or removed at rebalance
  • Stops: None; capital is redistributed monthly
  • Default Values:
    • SmaLength = 210
    • MinTradeUsd = 50
    • CandleType = daily
  • Filters:
    • Category: Trend following
    • Direction: Long only
    • Indicators: SMA
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Long-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

This package is not used by any popular GitHub repositories.

Version Downloads Last Updated
5.0.0 224 8/7/2025

fixes.