StockSharp.Strategies.0376_Lexical_Density_Filings 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0376_Lexical_Density_Filings --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0376_Lexical_Density_Filings -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0376_Lexical_Density_Filings" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0376_Lexical_Density_Filings" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0376_Lexical_Density_Filings" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0376_Lexical_Density_Filings --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0376_Lexical_Density_Filings, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0376_Lexical_Density_Filings@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0376_Lexical_Density_Filings&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0376_Lexical_Density_Filings&version=5.0.0
                    


                            Install as a Cake Tool

Lexical Density Filings Strategy (C# Version)

This factor strategy examines the language used in regulatory filings to gauge future stock performance. Lexical density is measured as the fraction of unique terms in the most recent report. Dense filings suggest rich, information-heavy disclosures that often precede stronger returns, while sparse wording can mask weakness.

Each quarter the universe is sorted by lexical density. The highest quintile is held long and the lowest quintile is shorted, with positions equally weighted. Rebalancing occurs during the first three trading days of February, May, August and November and positions remain open between reviews without stop-losses.

Backtests on broad U.S. equities show the factor provides a steady premium with moderate turnover, making it a useful component in multi-factor portfolios.

Details

  • Entry Criteria: Quarterly sort by lexical density; long top quintile, short bottom quintile
  • Long/Short: Both
  • Exit Criteria: Next rebalance
  • Stops: No
  • Default Values:
    • Quintile = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Fundamental
    • Direction: Both
    • Indicators: Text analytics
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Multi-month
    • Seasonality: Yes
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
There are no supported framework assets in this package.

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Version Downloads Last Updated
5.0.0 221 8/7/2025

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