Small Cap Premium (C#). StockSharp

The Small Cap Premium strategy captures the historical tendency for small capitalization stocks to outperform large caps. The universe is split by market capitalization and the portfolio holds a basket of small caps while shorting an index of large caps.

• Entry Criteria: Selection by market capitalization ranking.
  
• Long/Short: Both directions.
  
• Exit Criteria: Periodic rebalance.
  
• Stops: No explicit stop.
  
• Default Values:
  
  
  
  • CandleType = TimeSpan.FromDays(1).TimeFrame()
    
  
  
• Filters:
  
  
  
  • Category: Fundamental
    
  • Direction: Both
    
  • Indicators: Fundamentals
    
  • Stops: No
    
  • Complexity: Basic
    
  • Timeframe: Medium-term
    
  • Seasonality: No
    
  • Neural Networks: No
    
  • Divergence: No
    
  • Risk Level: Medium