Momentum Style Rotation Strategy (C#)

This Python strategy rotates among a set of factor exchange​-traded funds (ETFs) and a broad market ETF. At the end of each month the ETFs are ranked by their trailing three-month total return. The portfolio then invests entirely in the top ranked fund for the following month to harvest medium-term momentum. The approach always holds a single ETF and re-evaluates monthly. Daily candles are used for calculations and all rebalancing trades are executed at the market price.

• Universe: list of factor ETFs and a benchmark ETF.
• Signal: compute 63-day (three-month) total return and select the strongest instrument.
• Rebalance: first trading day of each month.
• Positioning: fully long the selected ETF, all others flat.
• Risk control: orders skipped when the required trade value falls below MinTradeUsd.