3.3
Value
PYTHON PLUGIN
Stocks
Value
Description
Strategy 3.3: Long cheap value stocks, short expensive growth stocks
Strategy Logic
Strategy 3.3: Value Strategy.
Go long stocks with low P/E, P/B, P/S ratios (value stocks),
short expensive (growth) stocks. Uses book-to-market ratio as
the primary signal.
Expects data DataFrames to optionally contain 'book_value',
'earnings', 'sales' columns. Falls back to price-based value
proxy (low price-to-52-week-high ratio) if fundamental data is
unavailable.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| long_quantile | 0.8 | float |
| short_quantile | 0.2 | float |
| lookback | 252 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |