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StockSharp.Strategies.0391_Residual_Momentum_Factor.py package icon

StockSharp.Strategies.0391_Residual_Momentum_Factor.py

v5.0.0Latest Stable
Any Framework

Residual Momentum Factor (Python)

StockSharp
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Published
Aug 7, 2025
1y ago
Total Downloads
771
771

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dotnet add package StockSharp.Strategies.0391_Residual_Momentum_Factor.py --version 5.0.0
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README

Residual Momentum Factor (Python Version)

The Residual Momentum Factor strategy ranks securities by an external residual momentum score. Each month on the first trading day it goes long the top decile and short the bottom decile.

Details

  • Entry Criteria: external residual momentum data feed.
  • Long/Short: Both directions.
  • Exit Criteria: Monthly rebalance.
  • Stops: No explicit stop logic.
  • Default Values:
    • Decile = 10
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1).TimeFrame()
  • Filters:
    • Category: Fundamental
    • Direction: Both
    • Indicators: Fundamentals
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Daily
    • Seasonality: Yes
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium

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