Small Cap Premium (C#)

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.

• Entry Criteria: Selection by market capitalization ranking.

• Long/Short: Both directions.

• Exit Criteria: Periodic rebalance.

• Stops: No explicit stop.

• Default Values:

• CandleType = TimeSpan.FromDays(1).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