Consistent Momentum Strategy

The Consistent Momentum strategy selects instruments that exhibit strong momentum across two time windows and rebalances the portfolio monthly. It holds each tranche for a fixed number of months and allocates capital equally to long and short baskets.

Details

• Entry Criteria: On the first trading day of each month, go long on securities in the top decile of both momentum measures and short the bottom decile.
• Long/Short: Both directions.
• Exit Criteria: Positions are closed after the holding period expires or when rebalancing occurs.
• Stops: No explicit stop logic; position size is based on dollar allocation.
• Default Values:
  • LookbackDays = 7 * 21
  • HoldingMonths = 6
  • MinTradeUsd = 50
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Momentum
  • Direction: Both
  • Indicators: Price momentum
  • Stops: No
  • Complexity: Advanced
  • Timeframe: Daily
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium