Betting Against Beta (C#). StockSharp

Author: StockSharp
N: 1980
v5.0.0 (8/7/2025)
Downloads: 0

The Betting Against Beta strategy goes long on the lowest-beta assets and short on the highest-beta ones. Betas are
calculated against a benchmark over a rolling window and the portfolio is rebalanced on the first trading day of each
month.

  • Entry Criteria: rank universe by beta relative to the benchmark; long lowest decile, short highest decile.
  • Long/Short: Both directions.
  • Exit Criteria: Positions adjusted at the next monthly rebalance.
  • Stops: No explicit stop logic.
  • Default Values:

    • WindowDays = 252
    • Deciles = 10
    • CandleType = TimeSpan.FromDays(1).TimeFrame()
    • MinTradeUsd = 100

  • Filters:

    • Category: Factor
    • Direction: Both
    • Indicators: Statistical
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Daily
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium