StockSharp.Strategies.0377_Low_Volatility_Stocks.py

Low Volatility Stocks Strategy (Python Version)

This defensive equity factor seeks out the "low volatility anomaly"—the observation that stocks with calmer price movements often deliver superior risk-adjusted returns. Volatility is calculated as the standard deviation of daily returns over a trailing window (60 trading days by default).

On the first trading day of each month the universe is ranked by realized volatility. The strategy goes long the lowest-volatility decile and shorts the highest-volatility decile, allocating equal dollar weights within each bucket. Positions are held until the next monthly rebalance and no explicit stop-losses are used.

Backtests show a smoother equity curve and smaller drawdowns than the broad market, making the approach attractive for investors seeking equity exposure with reduced risk.

Details

• Entry Criteria: Monthly sort by trailing volatility; long lowest decile, short highest decile
• Long/Short: Both
• Exit Criteria: Next monthly rebalance
• Stops: No
• Default Values:
  • VolWindowDays = 60
  • Deciles = 10
  • MinTradeUsd = 200
  • CandleType = TimeSpan.FromDays(1)
• Filters:
  • Category: Volatility
  • Direction: Both
  • Indicators: Standard deviation
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Medium-term
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Low