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