StockSharp.Strategies.0404_Time_Series_Momentum.py

Time Series Momentum (Python Version)

This approach goes long or short each asset based on its own past returns. If the trailing return is positive the model buys; if negative it sells, forming a diversified trend‑following portfolio.

Signals are evaluated monthly using one‑year lookbacks and positions are equally weighted across assets.

Details

• Data: Monthly total returns for each asset.
• Entry: Long when 12‑month return > 0; short when < 0.
• Exit: Reverse when the signal changes sign.
• Instruments: Broad set of futures or ETFs.
• Risk: Volatility scaling and diversification.