Low Volatility Stocks Strategy (C#). StockSharp

Author: StockSharp
N: 2024
v5.0.0 (8/7/2025)
Downloads: 0

This defensive equity factor seeks out the "low volatility anomaly"—the
observation that stocks with calmer price movements often deliver superior
risk-adjusted returns. Volatility is calculated as the standard deviation of
daily returns over a trailing window (60 trading days by default).
On the first trading day of each month the universe is ranked by realized
volatility. The strategy goes long the lowest-volatility decile and shorts the
highest-volatility decile, allocating equal dollar weights within each bucket.
Positions are held until the next monthly rebalance and no explicit stop-losses
are used.
Backtests show a smoother equity curve and smaller drawdowns than the broad
market, making the approach attractive for investors seeking equity exposure
with reduced risk.

  • Entry Criteria: Monthly sort by trailing volatility; long lowest decile,

short highest decile

  • Long/Short: Both
  • Exit Criteria: Next monthly rebalance
  • Stops: No
  • Default Values:

    • VolWindowDays = 60
    • Deciles = 10
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)

  • Filters:

    • Category: Volatility
    • Direction: Both
    • Indicators: Standard deviation
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Low