Betting Against Beta Stocks (C#)

The Betting Against Beta Stocks strategy longs the lowest beta decile of a stock universe and shorts the highest beta decile. Rebalancing occurs on the first trading day of each month. The approach aims to exploit the anomaly that low-beta stocks tend to outperform on a risk-adjusted basis. It assumes access to a benchmark security for beta calculations.

• Entry Criteria: Monthly selection of low/high beta stocks.

• Long/Short: Both directions.

• Exit Criteria: Positions are adjusted at the next rebalance.

• Stops: No explicit stop logic.

• Default Values:

• WindowDays = 252

• Deciles = 10

• CandleType = TimeSpan.FromDays(1).TimeFrame()

• MinTradeUsd = 100 [*]Filters:

• Category: Statistical

• Direction: Both

• Indicators: Beta

• Stops: No

• Complexity: Intermediate

• Timeframe: Daily

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium