StockSharp.Strategies.0378_Momentum_Asset_Growth.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0378_Momentum_Asset_Growth.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0378_Momentum_Asset_Growth.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.0378_Momentum_Asset_Growth.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.0378_Momentum_Asset_Growth.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0378_Momentum_Asset_Growth.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.0378_Momentum_Asset_Growth.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0378_Momentum_Asset_Growth.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.0378_Momentum_Asset_Growth.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.0378_Momentum_Asset_Growth.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0378_Momentum_Asset_Growth.py&version=5.0.0
                    


                            Install as a Cake Tool

Momentum Asset Growth Strategy (Python Version)

This hybrid factor strategy marries price momentum with the asset-growth effect. Firms that rapidly expand their balance sheets and simultaneously show strong trending prices are often rewarded by the market. The approach first filters the universe for companies in the highest decile of asset growth.

Eligible stocks are then ranked on twelve-month momentum, excluding the most recent month to avoid short-term reversals. The top momentum quintile is bought while the bottom quintile is sold short. Rebalancing takes place on the first trading day of each month except January when the strategy stays idle. No stop-losses are applied between reviews.

Backtests across developed equities indicate the blend of asset expansion and momentum delivers robust returns with moderate turnover.

Details

  • Entry Criteria: Monthly; select top asset-growth decile then rank by momentum; long top quintile, short bottom quintile
  • Long/Short: Both
  • Exit Criteria: Next monthly rebalance (January skipped)
  • Stops: No
  • Default Values:
    • MomLook = 252
    • SkipMonths = 1
    • AssetDecile = 10
    • Quintile = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1)
  • Filters:
    • Category: Momentum, Fundamentals
    • Direction: Both
    • Indicators: Price momentum, asset growth
    • Stops: No
    • Complexity: Advanced
    • Timeframe: Medium-term
    • Seasonality: Yes
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

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NuGet packages

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Version Downloads Last Updated
5.0.0 221 8/7/2025

fixes.