Mutual Fund Momentum Strategy (C#)
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Mutual Fund Momentum Strategy (C# Version)
This strategy rotates quarterly among a set of mutual funds. At the end of each quarter the funds are ranked by their trailing six-month performance. Capital is allocated to the top fund for the next quarter, allowing long-term investors to follow persistent momentum in actively managed products.
Only one fund is held at a time. Daily price data is used, and rebalancing occurs during the first three trading days of January, April, July, and October.
Details
- Universe: list of mutual funds.
- Signal: 126-day (six-month) total return ranking.
- Rebalance: quarterly on the first trading days of the new quarter.
- Positioning: fully long the highest-ranked fund.
- Risk control: skip trade when order value below
MinTradeUsd.
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