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Momentum Asset Growth Strategy

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
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Configuration;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Momentum plus asset-growth strategy that trades the primary instrument when its risk-adjusted momentum outperforms a benchmark while synthetic asset growth remains contained.
/// </summary>
public class MomentumAssetGrowthStrategy : Strategy
{
	private readonly StrategyParam<string> _security2Id;
	private readonly StrategyParam<int> _momentumLength;
	private readonly StrategyParam<int> _assetLength;
	private readonly StrategyParam<int> _normalizationPeriod;
	private readonly StrategyParam<decimal> _growthPenalty;
	private readonly StrategyParam<decimal> _entryThreshold;
	private readonly StrategyParam<decimal> _exitThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private Security _benchmark = null!;
	private RateOfChange _primaryMomentum = null!;
	private RateOfChange _benchmarkMomentum = null!;
	private ExponentialMovingAverage _primaryAssetBase = null!;
	private ExponentialMovingAverage _benchmarkAssetBase = null!;
	private SimpleMovingAverage _signalAverage = null!;
	private StandardDeviation _signalDeviation = null!;
	private decimal _previousPrimaryAssetBase;
	private decimal _previousBenchmarkAssetBase;
	private decimal _latestPrimaryMomentum;
	private decimal _latestBenchmarkMomentum;
	private decimal _latestPrimaryGrowth;
	private decimal _latestBenchmarkGrowth;
	private decimal? _previousZScore;
	private bool _primaryUpdated;
	private bool _benchmarkUpdated;
	private int _cooldownRemaining;

	/// <summary>
	/// Benchmark security identifier.
	/// </summary>
	public string Security2Id
	{
		get => _security2Id.Value;
		set => _security2Id.Value = value;
	}

	/// <summary>
	/// Momentum lookback period.
	/// </summary>
	public int MomentumLength
	{
		get => _momentumLength.Value;
		set => _momentumLength.Value = value;
	}

	/// <summary>
	/// Smoothing length for the synthetic asset base.
	/// </summary>
	public int AssetLength
	{
		get => _assetLength.Value;
		set => _assetLength.Value = value;
	}

	/// <summary>
	/// Lookback period used to normalize the composite signal.
	/// </summary>
	public int NormalizationPeriod
	{
		get => _normalizationPeriod.Value;
		set => _normalizationPeriod.Value = value;
	}

	/// <summary>
	/// Penalty applied to relative asset growth inside the composite score.
	/// </summary>
	public decimal GrowthPenalty
	{
		get => _growthPenalty.Value;
		set => _growthPenalty.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to open a position.
	/// </summary>
	public decimal EntryThreshold
	{
		get => _entryThreshold.Value;
		set => _entryThreshold.Value = value;
	}

	/// <summary>
	/// Z-score threshold required to close a position.
	/// </summary>
	public decimal ExitThreshold
	{
		get => _exitThreshold.Value;
		set => _exitThreshold.Value = value;
	}

	/// <summary>
	/// Closed candles to wait before another position change.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Candle type used for calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public MomentumAssetGrowthStrategy()
	{
		_security2Id = Param(nameof(Security2Id), Paths.HistoryDefaultSecurity2)
			.SetDisplay("Benchmark Security Id", "Identifier of the benchmark security", "General");

		_momentumLength = Param(nameof(MomentumLength), 28)
			.SetRange(5, 150)
			.SetDisplay("Momentum Length", "Momentum lookback period", "Indicators");

		_assetLength = Param(nameof(AssetLength), 8)
			.SetRange(2, 40)
			.SetDisplay("Asset Length", "Smoothing length for the synthetic asset base", "Indicators");

		_normalizationPeriod = Param(nameof(NormalizationPeriod), 24)
			.SetRange(5, 120)
			.SetDisplay("Normalization Period", "Lookback period used to normalize the composite signal", "Indicators");

		_growthPenalty = Param(nameof(GrowthPenalty), 1.8m)
			.SetRange(0.1m, 10m)
			.SetDisplay("Growth Penalty", "Penalty applied to relative asset growth inside the composite score", "Signals");

		_entryThreshold = Param(nameof(EntryThreshold), 1.15m)
			.SetRange(0.2m, 5m)
			.SetDisplay("Entry Threshold", "Z-score threshold required to open a position", "Signals");

		_exitThreshold = Param(nameof(ExitThreshold), 0.3m)
			.SetRange(0m, 2m)
			.SetDisplay("Exit Threshold", "Z-score threshold required to close a position", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(0, 120)
			.SetDisplay("Cooldown Bars", "Closed candles to wait before another position change", "Risk");

		_stopLoss = Param(nameof(StopLoss), 2.5m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Time frame for candles", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);

		if (!Security2Id.IsEmpty())
			yield return (new Security { Id = Security2Id }, CandleType);
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_benchmark = null!;
		_primaryMomentum = null!;
		_benchmarkMomentum = null!;
		_primaryAssetBase = null!;
		_benchmarkAssetBase = null!;
		_signalAverage = null!;
		_signalDeviation = null!;
		_previousPrimaryAssetBase = 0m;
		_previousBenchmarkAssetBase = 0m;
		_latestPrimaryMomentum = 0m;
		_latestBenchmarkMomentum = 0m;
		_latestPrimaryGrowth = 0m;
		_latestBenchmarkGrowth = 0m;
		_previousZScore = null;
		_primaryUpdated = false;
		_benchmarkUpdated = false;
		_cooldownRemaining = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		if (Security == null)
			throw new InvalidOperationException("Primary security is not specified.");

		if (Security2Id.IsEmpty())
			throw new InvalidOperationException("Benchmark security identifier is not specified.");

		_benchmark = this.LookupById(Security2Id) ?? new Security { Id = Security2Id };
		_primaryMomentum = new RateOfChange { Length = MomentumLength };
		_benchmarkMomentum = new RateOfChange { Length = MomentumLength };
		_primaryAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_benchmarkAssetBase = new ExponentialMovingAverage { Length = AssetLength };
		_signalAverage = new SimpleMovingAverage { Length = NormalizationPeriod };
		_signalDeviation = new StandardDeviation { Length = NormalizationPeriod };

		var primarySubscription = SubscribeCandles(CandleType, security: Security);
		var benchmarkSubscription = SubscribeCandles(CandleType, security: _benchmark);

		primarySubscription
			.Bind(ProcessPrimaryCandle)
			.Start();

		benchmarkSubscription
			.Bind(ProcessBenchmarkCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, primarySubscription);
			DrawCandles(area, benchmarkSubscription);
			DrawOwnTrades(area);
		}

		StartProtection(
			new Unit(2, UnitTypes.Percent),
			new Unit(StopLoss, UnitTypes.Percent));
	}

	private void ProcessPrimaryCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var momentumValue = _primaryMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_primaryMomentum.IsFormed)
			return;

		_latestPrimaryMomentum = momentumValue.ToDecimal();
		_latestPrimaryGrowth = UpdateGrowth(_primaryAssetBase, candle, ref _previousPrimaryAssetBase);
		_primaryUpdated = true;
		TryProcessSignal(candle.OpenTime);
	}

	private void ProcessBenchmarkCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var momentumValue = _benchmarkMomentum.Process(candle);
		if (momentumValue.IsEmpty || !_benchmarkMomentum.IsFormed)
			return;

		_latestBenchmarkMomentum = momentumValue.ToDecimal();
		_latestBenchmarkGrowth = UpdateGrowth(_benchmarkAssetBase, candle, ref _previousBenchmarkAssetBase);
		_benchmarkUpdated = true;
		TryProcessSignal(candle.OpenTime);
	}

	private decimal UpdateGrowth(ExponentialMovingAverage average, ICandleMessage candle, ref decimal previousBase)
	{
		var assetBase = CalculateSyntheticAssetBase(candle);
		var smoothedBase = average.Process(assetBase, candle.OpenTime, true).ToDecimal();

		if (previousBase == 0m)
		{
			previousBase = smoothedBase;
			return 0m;
		}

		var growth = (smoothedBase - previousBase) / Math.Max(Math.Abs(previousBase), 1m);
		previousBase = smoothedBase;
		return growth;
	}

	private static decimal CalculateSyntheticAssetBase(ICandleMessage candle)
	{
		var priceBase = Math.Max(candle.OpenPrice, 1m);
		var rangeRatio = (candle.HighPrice - candle.LowPrice) / priceBase;
		var turnoverProxy = candle.ClosePrice * (1m + (rangeRatio * 6m));
		var balanceProxy = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4m;

		return turnoverProxy + balanceProxy;
	}

	private void TryProcessSignal(DateTime time)
	{
		if (!_primaryUpdated || !_benchmarkUpdated)
			return;

		_primaryUpdated = false;
		_benchmarkUpdated = false;

		if (!_primaryAssetBase.IsFormed || !_benchmarkAssetBase.IsFormed)
			return;

		var signal = (_latestPrimaryMomentum - _latestBenchmarkMomentum) - (GrowthPenalty * (_latestPrimaryGrowth - _latestBenchmarkGrowth));
		var mean = _signalAverage.Process(signal, time, true).ToDecimal();
		var deviation = _signalDeviation.Process(signal, time, true).ToDecimal();

		if (!_signalAverage.IsFormed || !_signalDeviation.IsFormed || deviation <= 0m)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var zScore = (signal - mean) / deviation;
		var bullishEntry = _previousZScore is decimal previousBullish && previousBullish < EntryThreshold && zScore >= EntryThreshold;
		var bearishEntry = _previousZScore is decimal previousBearish && previousBearish > -EntryThreshold && zScore <= -EntryThreshold;

		if (_cooldownRemaining == 0 && Position == 0)
		{
			if (bullishEntry)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else if (bearishEntry)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
		}
		else if (Position > 0 && zScore <= ExitThreshold)
		{
			SellMarket(Position);
			_cooldownRemaining = CooldownBars;
		}
		else if (Position < 0 && zScore >= -ExitThreshold)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_previousZScore = zScore;
	}
}