Seasonality Adjusted Momentum (C#)

Seasonality Adjusted Momentum

Combines momentum with historical monthly returns. On finished 5-minute candles, calculate M = Momentum(14) and A = SMA(14) of M. From flat, buy when S >= SeasonalityThreshold and M > A; sell when S <= -SeasonalityThreshold and M < A. Default SeasonalityThreshold = 0.5 is in percentage points.

Close a long if its seasonal condition is no longer satisfied or M < A; close a short if its seasonal condition fails or M > A. Every signal order starts a CooldownBars = 120 pause in finished candles for subsequent signal decisions. Filled positions have separate local native StopLossPercent = 2 protection from the actual execution price, monitored on bid/ask and executed at market; it does not wait for signal cooldown.

Requires SeasonalityHistoryFile: a UTF-8 CSV of monthly open/close prices with header SecurityId,Month,Open,Close. Month is yyyy-MM, numbers use a decimal point, prices must be positive, and each month must be unique for the execution instrument. Rows for other security IDs are ignored; missing input, malformed rows or no matching observations prevent startup.

At each signal candle, S is the mean of 100 × (Close / Open − 1) for the same calendar month in prior years, within SeasonalityLookbackYears = 10. At least MinimumSeasonalSamples = 2 observations are required. The current month and future months are excluded even if present in the file. Without sufficient history, no new position is opened. Supply actual monthly prices for the instrument; no fixed monthly score table is supplied.