StockSharp.Strategies.0397_Short_Term_Reversal_Stocks.py

Short-Term Reversal Stocks (Python Version)

The Short-Term Reversal Stocks strategy applies mean reversion principles to equities. Each day the stocks with the largest losses over the prior week are bought while recent winners are shorted, betting on a short-lived reversal.

Positions are held for only a few days before re-evaluating.

Details

• Entry Criteria: Daily ranking by one-week return.
• Long/Short: Both directions.
• Exit Criteria: Positions closed after several days or when rankings update.
• Stops: Volatility-based stop may be used.
• Default Values:
  • CandleType = TimeSpan.FromDays(1).TimeFrame()
• Filters:
  • Category: Mean reversion
  • Direction: Both
  • Indicators: Price based
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Short-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium