The Consistent Momentum strategy selects instruments that exhibit strong momentum across two time windows and rebalances the portfolio monthly. It holds each tranche for a fixed number of months and allocates capital equally to long and short baskets.
Entry Criteria: On the first trading day of each month, go long on securities in the top decile of both momentum measures and short the bottom decile.
Long/Short: Both directions.
Exit Criteria: Positions are closed after the holding period expires or when rebalancing occurs.
Stops: No explicit stop logic; position size is based on dollar allocation.
Default Values:
LookbackDays = 7 * 21
HoldingMonths = 6
MinTradeUsd = 50
CandleType = TimeSpan.FromDays(1).TimeFrame()
[*]Filters:
Category: Momentum
Direction: Both
Indicators: Price momentum
Stops: No
Complexity: Advanced
Timeframe: Daily
Seasonality: No
Neural Networks: No
Divergence: No
Risk Level: Medium