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StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter package icon

StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter

v5.0.2Latest Stable
Any Framework

Pairs Trading Volatility Filter (C#)

StockSharp
NuGetWebsiteLicenseCompare
Published
Aug 7, 2025
1y ago
Total Downloads
2.1K
2,105

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dotnet add package StockSharp.Strategies.0295_Pairs_Trading_Volatility_Filter --version 5.0.2
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README

Pairs Trading Volatility Filter (C# 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 v5.0.1 and v5.0.2.

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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