StockSharp.Strategies.0371_ESGFactor_Momentum.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0371_ESGFactor_Momentum.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0371_ESGFactor_Momentum.py -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0371_ESGFactor_Momentum.py" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0371_ESGFactor_Momentum.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0371_ESGFactor_Momentum.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0371_ESGFactor_Momentum.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0371_ESGFactor_Momentum.py, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0371_ESGFactor_Momentum.py@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0371_ESGFactor_Momentum.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0371_ESGFactor_Momentum.py&version=5.0.0
                    


                            Install as a Cake Tool

ESG Factor Momentum Strategy (Python Version)

This strategy rotates among a universe of securities scored on environmental, social, and governance metrics. At the start of each month it ranks every symbol by its trailing return and holds only the strongest performer. The premise is that assets attracting ESG capital tend to sustain momentum. To avoid excessive turnover, the algorithm only trades when the position value exceeds a minimum dollar threshold.

During rebalancing the system exits any existing position and reallocates to the highest‑momentum security. The portfolio never uses leverage or shorts; it is fully invested in a single asset selected by momentum strength.

Details

  • Entry Criteria:
    • On the first trading day of the month, compute total return over LookbackDays for each security.
    • Buy the security with the highest return if the order size is at least MinTradeUsd.
  • Long/Short: Long only.
  • Exit Criteria: All positions are closed at each monthly rebalance before opening the new position.
  • Stops: None.
  • Default Values:
    • Universe – list of ESG‑focused symbols.
    • LookbackDays = 252.
    • CandleType = 1 day.
    • MinTradeUsd – minimum trade value.
  • Filters:
    • Category: Momentum.
    • Direction: Long only.
    • Timeframe: Medium‑term.
    • Rebalance: Monthly.
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

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Version Downloads Last Updated
5.0.0 216 8/7/2025

fixes.