Betting Against Beta (Python)
Total Downloads
744
744
Published
Aug 7, 2025
1y ago
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dotnet add package StockSharp.Strategies.0355_Betting_Against_Beta.py --version 5.0.0
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README
Betting Against Beta (Python Version)
The Betting Against Beta strategy goes long on the lowest-beta assets and short on the highest-beta ones. Betas are calculated against a benchmark over a rolling window and the portfolio is rebalanced on the first trading day of each month.
Details
- Entry Criteria: rank universe by beta relative to the benchmark; long lowest decile, short highest decile.
- Long/Short: Both directions.
- Exit Criteria: Positions adjusted at the next monthly rebalance.
- Stops: No explicit stop logic.
- Default Values:
WindowDays = 252Deciles = 10CandleType = TimeSpan.FromDays(1).TimeFrame()MinTradeUsd = 100
- Filters:
- Category: Factor
- Direction: Both
- Indicators: Statistical
- Stops: No
- Complexity: Intermediate
- Timeframe: Daily
- Seasonality: No
- Neural Networks: No
- Divergence: No
- Risk Level: Medium
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