StockSharp.Strategies.0379_Momentum_Factor_Stocks.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0379_Momentum_Factor_Stocks.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0379_Momentum_Factor_Stocks.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.0379_Momentum_Factor_Stocks.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.0379_Momentum_Factor_Stocks.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0379_Momentum_Factor_Stocks.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.0379_Momentum_Factor_Stocks.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0379_Momentum_Factor_Stocks.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.0379_Momentum_Factor_Stocks.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.0379_Momentum_Factor_Stocks.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0379_Momentum_Factor_Stocks.py&version=5.0.0
                    


                            Install as a Cake Tool

Momentum Factor Stocks Strategy (Python Version)

This systematic approach harnesses the classic 12‑1 month momentum factor in equities. At the end of each month stocks are ranked by their performance over the prior twelve months while skipping the most recent month to sidestep short-term reversals. Securities in the highest quintile are purchased and those in the lowest quintile are sold short, forming a market-neutral spread.

Rebalancing occurs on the first trading day of every month. Positions are equally weighted and remain open until the next rebalance; no explicit stop-losses are used.

Extensive academic and industry research shows momentum delivers persistent excess returns and offers valuable diversification when combined with other factors.

Details

  • Entry Criteria: Monthly 12‑1 momentum ranking; long top quintile, short bottom quintile
  • Long/Short: Both
  • Exit Criteria: Next monthly rebalance
  • Stops: No
  • Default Values:
    • LookbackDays = 252
    • SkipDays = 21
    • Quintile = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Price change
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Medium-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
5.0.0 218 8/7/2025

fixes.