StockSharp.Strategies.0363_Currency_Momentum_Factor.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0363_Currency_Momentum_Factor.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0363_Currency_Momentum_Factor.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.0363_Currency_Momentum_Factor.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.0363_Currency_Momentum_Factor.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0363_Currency_Momentum_Factor.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.0363_Currency_Momentum_Factor.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0363_Currency_Momentum_Factor.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.0363_Currency_Momentum_Factor.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.0363_Currency_Momentum_Factor.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0363_Currency_Momentum_Factor.py&version=5.0.0
                    


                            Install as a Cake Tool

Currency Momentum Factor Strategy (Python Version)

This factor strategy ranks currencies by medium‑term momentum and builds a long/short portfolio. Currencies with the strongest performance over the lookback window are bought, while the weakest are shorted in equal sizes.

Momentum is evaluated using daily candles and the book is rebalanced on the first trading day of each month. Orders smaller than a minimum USD value are ignored to reduce noise.

Details

  • Universe: List of currency pairs or ETFs.
  • Signal: Go long the top K currencies by momentum and short the bottom K.
  • Lookback: Return computed over Lookback daily candles (default 252).
  • Rebalance: Monthly.
  • Positioning: Long/short, dollar‑neutral.
  • Parameters:
    • Universe – tradable currency symbols.
    • Lookback – number of candles for momentum.
    • K – count of assets to long and short.
    • MinTradeUsd – minimum trade size.
    • CandleType – candle timeframe (default: 1 day).
  • Note: The sample lacks real momentum calculation for demonstration purposes.
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.

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Version Downloads Last Updated
5.0.0 212 8/7/2025

fixes