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