StockSharp.Strategies.0392_Return_Asymmetry_Commodity.py

Return Asymmetry Commodity (Python Version)

The Return Asymmetry Commodity strategy exploits the difference between positive and negative returns. For each commodity future, the rolling window sums all upward and downward moves separately. A high ratio implies persistent positive drift, while a low ratio points to sustained selling pressure.

At the start of each month, commodities are ranked by this asymmetry measure. The system buys the top N contracts and sells short the weakest N, allocating capital equally. Rebalancing occurs monthly.

Details

• Entry Criteria: Monthly ranking of the asymmetry of daily returns over a lookback window.
• Long/Short: Both directions.
• Exit Criteria: Positions adjusted on monthly rebalance.
• Stops: No explicit stop; position size capped by MinTradeUsd.
• Default Values:
  • WindowDays = 120
  • TopN = 5
  • MinTradeUsd = 200
  • CandleType = TimeSpan.FromDays(1).TimeFrame()
• Filters:
  • Category: Momentum
  • Direction: Both
  • Indicators: Price based
  • Stops: No
  • Complexity: Intermediate
  • Timeframe: Medium-term
  • Seasonality: Yes
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium