Betting Against Beta (Python)

The Betting Against Beta strategy goes long on the lowest-beta assets and short on the highest-beta ones. Betas are calculated against a benchmark over a rolling window and the portfolio is rebalanced on the first trading day of each month.

• Entry Criteria: rank universe by beta relative to the benchmark; long lowest decile, short highest decile.

• Long/Short: Both directions.

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

• Stops: No explicit stop logic.

• Default Values:

• WindowDays = 252

• Deciles = 10

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

• MinTradeUsd = 100 [*]Filters:

• Category: Factor

• Direction: Both

• Indicators: Statistical

• Stops: No

• Complexity: Intermediate

• Timeframe: Daily

• Seasonality: No

• Neural Networks: No

• Divergence: No

• Risk Level: Medium