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StockSharp.Strategies.0391_Residual_Momentum_Factor package icon

StockSharp.Strategies.0391_Residual_Momentum_Factor

v5.0.0Latest Stable
Any Framework

Residual Momentum Factor (C#)

StockSharp
NuGetWebsiteLicenseCompare
Published
Aug 7, 2025
1y ago
Total Downloads
770
770

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

Residual Momentum Factor (C# 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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