StockSharp.Strategies.0379_Momentum_Factor_Stocks

Momentum Factor Stocks Strategy (C# Version)

This systematic approach harnesses the classic 12‑1 month momentum factor in equities. At the end of each month stocks are ranked by their performance over the prior twelve months while skipping the most recent month to sidestep short-term reversals. Securities in the highest quintile are purchased and those in the lowest quintile are sold short, forming a market-neutral spread.

Rebalancing occurs on the first trading day of every month. Positions are equally weighted and remain open until the next rebalance; no explicit stop-losses are used.

Extensive academic and industry research shows momentum delivers persistent excess returns and offers valuable diversification when combined with other factors.

Details

• Entry Criteria: Monthly 12‑1 momentum ranking; long top quintile, short bottom quintile
• Long/Short: Both
• Exit Criteria: Next monthly rebalance
• Stops: No
• Default Values:
  • LookbackDays = 252
  • SkipDays = 21
  • Quintile = 5
  • MinTradeUsd = 200
  • CandleType = TimeSpan.FromDays(1)
• Filters:
  • Category: Momentum
  • Direction: Both
  • Indicators: Price change
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Medium-term
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium