StockSharp.Strategies.0392_Return_Asymmetry_Commodity.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0392_Return_Asymmetry_Commodity.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0392_Return_Asymmetry_Commodity.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.0392_Return_Asymmetry_Commodity.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.0392_Return_Asymmetry_Commodity.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0392_Return_Asymmetry_Commodity.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.0392_Return_Asymmetry_Commodity.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0392_Return_Asymmetry_Commodity.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.0392_Return_Asymmetry_Commodity.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.0392_Return_Asymmetry_Commodity.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0392_Return_Asymmetry_Commodity.py&version=5.0.0
                    


                            Install as a Cake Tool

Return Asymmetry Commodity (Python Version)

The Return Asymmetry Commodity strategy exploits the difference between positive and negative returns. For each commodity future, the rolling window sums all upward and downward moves separately. A high ratio implies persistent positive drift, while a low ratio points to sustained selling pressure.

At the start of each month, commodities are ranked by this asymmetry measure. The system buys the top N contracts and sells short the weakest N, allocating capital equally. Rebalancing occurs monthly.

Details

  • Entry Criteria: Monthly ranking of the asymmetry of daily returns over a lookback window.
  • Long/Short: Both directions.
  • Exit Criteria: Positions adjusted on monthly rebalance.
  • Stops: No explicit stop; position size capped by MinTradeUsd.
  • Default Values:
    • WindowDays = 120
    • TopN = 5
    • MinTradeUsd = 200
    • CandleType = TimeSpan.FromDays(1).TimeFrame()
  • Filters:
    • Category: Momentum
    • Direction: Both
    • Indicators: Price based
    • Stops: No
    • Complexity: Intermediate
    • 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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Version Downloads Last Updated
5.0.0 228 8/7/2025

fixes