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Betting Against Beta Stocks (C#)
Published
Aug 7, 2025
1y ago
Total Downloads
806
806
Install
dotnet add package StockSharp.Strategies.0354_Betting_Against_Beta_Stocks --version 5.0.0
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README
Betting Against Beta Stocks (C# 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 = 252Deciles = 10CandleType = 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
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