StockSharp.Strategies.0380_Momentum_Rev_Vol.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0380_Momentum_Rev_Vol.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0380_Momentum_Rev_Vol.py -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.0380_Momentum_Rev_Vol.py" 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.0380_Momentum_Rev_Vol.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0380_Momentum_Rev_Vol.py" />
                    


                            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.0380_Momentum_Rev_Vol.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0380_Momentum_Rev_Vol.py, 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.0380_Momentum_Rev_Vol.py@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.0380_Momentum_Rev_Vol.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0380_Momentum_Rev_Vol.py&version=5.0.0
                    


                            Install as a Cake Tool

Momentum Rev Vol Strategy (Python Version)

This composite factor strategy blends three signals: long-term momentum, short-term reversal and low volatility. Each month a score is calculated for every security using 12‑month momentum, the inverse of one‑month returns and the trailing 60‑day volatility. Adjustable weights WM, WR and WV control the contribution of each component.

On the first trading day of every month securities are ranked by the composite score. The highest decile is bought and the lowest decile is shorted with equal dollar weights. Positions are held until the next rebalance and no explicit stop-loss rules are employed.

By combining trend following, mean reversion and risk aversion, the strategy seeks diversified returns across different market regimes.

Details

  • Entry Criteria: Monthly ranking by weighted combination of momentum, reversal and volatility; long top decile, short bottom decile
  • Long/Short: Both
  • Exit Criteria: Next monthly rebalance
  • Stops: No
  • Default Values:
    • Lookback12 = 252
    • Lookback1 = 21
    • VolWindow = 60
    • WM = 1.0
    • WR = 1.0
    • WV = 1.0
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Multi-factor
    • Direction: Both
    • Indicators: Momentum, reversal, volatility
    • Stops: No
    • Complexity: Advanced
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

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NuGet packages

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Version Downloads Last Updated
5.0.0 236 8/7/2025

fixes.