Momentum Style Rotation Strategy (C#)
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Momentum Style Rotation Strategy (C# Version)
This Python strategy rotates among a set of factor exchange​-traded funds (ETFs) and a broad market ETF. At the end of each month the ETFs are ranked by their trailing three-month total return. The portfolio then invests entirely in the top ranked fund for the following month to harvest medium-term momentum.
The approach always holds a single ETF and re-evaluates monthly. Daily candles are used for calculations and all rebalancing trades are executed at the market price.
Details
- Universe: list of factor ETFs and a benchmark ETF.
- Signal: compute 63-day (three-month) total return and select the strongest instrument.
- Rebalance: first trading day of each month.
- Positioning: fully long the selected ETF, all others flat.
- Risk control: orders skipped when the required trade value falls below
MinTradeUsd.
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