StockSharp.Strategies.0380_Momentum_Rev_Vol

Momentum Rev Vol Strategy (C# Version)

This composite factor strategy blends three signals: long-term momentum, short-term reversal and low volatility. Each month a score is calculated for every security using 12‑month momentum, the inverse of one‑month returns and the trailing 60‑day volatility. Adjustable weights WM, WR and WV control the contribution of each component.

On the first trading day of every month securities are ranked by the composite score. The highest decile is bought and the lowest decile is shorted with equal dollar weights. Positions are held until the next rebalance and no explicit stop-loss rules are employed.

By combining trend following, mean reversion and risk aversion, the strategy seeks diversified returns across different market regimes.

Details

• Entry Criteria: Monthly ranking by weighted combination of momentum, reversal and volatility; long top decile, short bottom decile
• Long/Short: Both
• Exit Criteria: Next monthly rebalance
• Stops: No
• Default Values:
  • Lookback12 = 252
  • Lookback1 = 21
  • VolWindow = 60
  • WM = 1.0
  • WR = 1.0
  • WV = 1.0
  • MinTradeUsd = 200
  • CandleType = TimeSpan.FromDays(1)
• Filters:
  • Category: Multi-factor
  • Direction: Both
  • Indicators: Momentum, reversal, volatility
  • Stops: No
  • Complexity: Advanced
  • Timeframe: Medium-term
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk level: Medium