StockSharp.Strategies.0376_Lexical_Density_Filings

Lexical Density Filings Strategy (C# Version)

This factor strategy examines the language used in regulatory filings to gauge future stock performance. Lexical density is measured as the fraction of unique terms in the most recent report. Dense filings suggest rich, information-heavy disclosures that often precede stronger returns, while sparse wording can mask weakness.

Each quarter the universe is sorted by lexical density. The highest quintile is held long and the lowest quintile is shorted, with positions equally weighted. Rebalancing occurs during the first three trading days of February, May, August and November and positions remain open between reviews without stop-losses.

Backtests on broad U.S. equities show the factor provides a steady premium with moderate turnover, making it a useful component in multi-factor portfolios.

Details

• Entry Criteria: Quarterly sort by lexical density; long top quintile, short bottom quintile
• Long/Short: Both
• Exit Criteria: Next rebalance
• Stops: No
• Default Values:
  • Quintile = 5
  • MinTradeUsd = 200
  • CandleType = TimeSpan.FromDays(1)
• Filters:
  • Category: Fundamental
  • Direction: Both
  • Indicators: Text analytics
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Multi-month
  • Seasonality: Yes
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium