StockSharp.Strategies.0377_Low_Volatility_Stocks.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0377_Low_Volatility_Stocks.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0377_Low_Volatility_Stocks.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.0377_Low_Volatility_Stocks.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.0377_Low_Volatility_Stocks.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0377_Low_Volatility_Stocks.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.0377_Low_Volatility_Stocks.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0377_Low_Volatility_Stocks.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.0377_Low_Volatility_Stocks.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.0377_Low_Volatility_Stocks.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0377_Low_Volatility_Stocks.py&version=5.0.0
                    


                            Install as a Cake Tool

Low Volatility Stocks Strategy (Python Version)

This defensive equity factor seeks out the "low volatility anomaly"—the observation that stocks with calmer price movements often deliver superior risk-adjusted returns. Volatility is calculated as the standard deviation of daily returns over a trailing window (60 trading days by default).

On the first trading day of each month the universe is ranked by realized volatility. The strategy goes long the lowest-volatility decile and shorts the highest-volatility decile, allocating equal dollar weights within each bucket. Positions are held until the next monthly rebalance and no explicit stop-losses are used.

Backtests show a smoother equity curve and smaller drawdowns than the broad market, making the approach attractive for investors seeking equity exposure with reduced risk.

Details

  • Entry Criteria: Monthly sort by trailing volatility; long lowest decile, short highest decile
  • Long/Short: Both
  • Exit Criteria: Next monthly rebalance
  • Stops: No
  • Default Values:
    • VolWindowDays = 60
    • Deciles = 10
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Volatility
    • Direction: Both
    • Indicators: Standard deviation
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Medium-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Low
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Version Downloads Last Updated
5.0.0 645 8/7/2025

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