StockSharp.Strategies.0354_Betting_Against_Beta_Stocks.py

Betting Against Beta Stocks (Python Version)

The Betting Against Beta Stocks strategy longs the lowest beta decile of a stock universe and shorts the highest beta decile. Rebalancing occurs on the first trading day of each month.

The approach aims to exploit the anomaly that low-beta stocks tend to outperform on a risk-adjusted basis. It assumes access to a benchmark security for beta calculations.

Details

• Entry Criteria: Monthly selection of low/high beta stocks.
• Long/Short: Both directions.
• Exit Criteria: Positions are adjusted at the next rebalance.
• Stops: No explicit stop logic.
• Default Values:
  • WindowDays = 252
  • Deciles = 10
  • CandleType = TimeSpan.FromDays(1).TimeFrame()
  • MinTradeUsd = 100
• Filters:
  • Category: Statistical
  • Direction: Both
  • Indicators: Beta
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Daily
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium