Time Series Momentum (C#). StockSharp

Author: StockSharp
N: 2078
v5.0.0 (8/7/2025)
Downloads: 0

This approach goes long or short each asset based on its own past returns. If the trailing return is positive the model buys; if negative it sells, forming a diversified trend‑following portfolio.
Signals are evaluated monthly using one‑year lookbacks and positions are equally weighted across assets.

  • Data: Monthly total returns for each asset.
  • Entry: Long when 12‑month return > 0; short when < 0.
  • Exit: Reverse when the signal changes sign.
  • Instruments: Broad set of futures or ETFs.
  • Risk: Volatility scaling and diversification.