Consistent Momentum Strategy (C#)

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.

• 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.FromDays(1).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