Small Cap Premium

The Small Cap Premium strategy captures the historical tendency for small capitalization stocks to outperform large caps. The universe is split by market capitalization and the portfolio holds a basket of small caps while shorting an index of large caps.

Details

• Entry Criteria: Selection by market capitalization ranking.
• Long/Short: Both directions.
• Exit Criteria: Periodic rebalance.
• Stops: No explicit stop.
• Default Values:
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
• Filters:
  • Category: Fundamental
  • Direction: Both
  • Indicators: Fundamentals
  • Stops: No
  • Complexity: Basic
  • Timeframe: Medium-term
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium