R&D Expenditures Strategy (C#)

This cross-sectional strategy ranks stocks by their ratio of research-and-development (R&D) expenses to market value. At the start of each month the top quintile of firms with the highest R&D intensity is bought while the bottom quintile is sold short, betting that heavy R&D spending predicts future outperformance. Weights are assigned equally within each side and rebalanced monthly using daily price data.

• Universe: list of stocks with R&D data.
• Signal: R&D expenditures divided by market capitalization.
• Portfolio: long highest quintile, short lowest quintile.
• Rebalance: monthly.
• Risk control: trades skipped when order value below MinTradeUsd.