StockSharp.Strategies.0390_RDExpenditures.py
v5.0.0Latest Stable
Any Framework
R&D Expenditures Strategy (Python)
Published
Aug 7, 2025
1y ago
Total Downloads
705
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Install
dotnet add package StockSharp.Strategies.0390_RDExpenditures.py --version 5.0.0
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README
R&D Expenditures Strategy (Python Version)
This cross-sectional strategy ranks stocks by their ratio of research-and-development (R&D) expenses to market value. At the start of each month the top quintile of firms with the highest R&D intensity is bought while the bottom quintile is sold short, betting that heavy R&D spending predicts future outperformance.
Weights are assigned equally within each side and rebalanced monthly using daily price data.
Details
- Universe: list of stocks with R&D data.
- Signal: R&D expenditures divided by market capitalization.
- Portfolio: long highest quintile, short lowest quintile.
- Rebalance: monthly.
- Risk control: trades skipped when order value below
MinTradeUsd.
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