The Betting Against Beta strategy goes long on the lowest-beta assets and short on the highest-beta ones. Betas are
calculated against a benchmark over a rolling window and the portfolio is rebalanced on the first trading day of each
month.
Entry Criteria: rank universe by beta relative to the benchmark; long lowest decile, short highest decile.
Long/Short: Both directions.
Exit Criteria: Positions adjusted at the next monthly rebalance.
Stops: No explicit stop logic.
Default Values:
WindowDays = 252
Deciles = 10
CandleType = TimeSpan.FromDays(1).TimeFrame()
MinTradeUsd = 100
[*]Filters:
Category: Factor
Direction: Both
Indicators: Statistical
Stops: No
Complexity: Intermediate
Timeframe: Daily
Seasonality: No
Neural Networks: No
Divergence: No
Risk Level: Medium