ROA Effect Stocks (C#)

ROAEffect Stocks

Trading rules

RoaFile supplies externally published return on assets in consistent decimal units. The score is not inferred from candle body or range. Each month rank latest eligible ROA descending, buy floor(n/Decile) leaders and short the same number of laggards. Require at least Decile eligible securities.

Set Universe explicitly. Prices and Capital use USD, with one price unit per traded unit. Capital is a fixed budget; Leverage controls gross exposure. No stop loss or take profit is added.

Evaluate only synchronized finished candles. Statistics count distinct UTC dates, replacing earlier intraday closes of the same date. Rebalance once on the first eligible synchronized candle of each month; an unformed input delays the decision. Equal scores are ordered by Security.Id.

Long and short baskets each receive half of Capital × Leverage. Divide each side equally, convert USD to units at the signal close and round toward zero to VolumeStep. Reconcile against actual filled positions, wait for pending orders, respect MinVolume/MaxVolume and split large adjustments across later candles. MinTradeUsd filters small adjustments; full liquidation bypasses it.

Parameters

Input data

The required score CSV has header SecurityId,PeriodEnd,PublishedAt,Score. PeriodEnd uses yyyy-MM-dd; PublishedAt is UTC yyyy-MM-ddTHH:mm:ssZ; Score is a decimal. Reject duplicate revisions or publication before period end. Select the newest fiscal/measurement period, then latest revision published by the actual synchronized candle CloseTime. MaxScoreAgeDays counts from PeriodEnd. Missing, stale or undersized inputs delay the review and retain existing holdings; prices do not substitute for scores.

Verification

Both languages are checked with the packaged BTC/TON history, independent formulas, actual order sides/quantities, fills, positions and exits. Dated price/factor and calendar fixtures test mechanics; relocated OHLC/volume is not multi-year market history. Two rank buckets, TopN=1 and SMA=2 are explicit small-universe test profiles. Published long lookbacks/defaults are checked separately. No profitability claim is made.