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StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter.py package icon

StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter.py

v5.0.1Latest Stable
Any Framework

Pairs Trading Volatility Filter (Python)

StockSharp
NuGetWebsiteLicenseCompare
Published
Aug 7, 2025
1y ago
Total Downloads
1.5K
1,546

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dotnet add package StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter.py --version 5.0.1
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README

Pairs Trading Volatility Filter (Python Version)

The Pairs Trading Volatility Filter strategy uses the Pairs alongside volatility filters. It enters trades only when specified conditions align.

Signals require the indicator to surpass a threshold while volatility meets predefined criteria. Positions can be long or short with built-in stops.

Designed for traders who value risk control, the strategy exits as soon as the indicator mean reverts or volatility shifts. Initial setting LookbackPeriod = 20.

Details

  • Entry Criteria: Indicator crosses back toward mean.
  • Long/Short: Both directions.
  • Exit Criteria: Indicator reverts to average.
  • Stops: Yes.
  • Default Values:
    • LookbackPeriod = 20
    • EntryThreshold = 2.0m
    • ExitThreshold = 0.0m
    • StopLossPercent = 2.0m
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Pairs
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Short-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium

Changes from Previous Version

No structural changes between v5.0.0 and v5.0.1.

Adoption Assessment

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No SPDX license expression is published. Review the license text and your organisation's policy before redistribution.No target framework metadata is available. Confirm compatibility in a representative project before standardising on this package.

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