StockSharp.Strategies.0365_Dispersion_Trading.py

Dispersion Trading Strategy (Python Version)

The dispersion trading strategy exploits periods when an equity index and its constituents diverge. When the average pairwise correlation between index members drops below a threshold, the strategy buys the individual stocks and shorts the index, betting that correlations will mean‑revert.

Daily candles feed a rolling correlation window. If correlations recover above the threshold, all positions are closed. A minimum trade value is enforced to avoid tiny orders.

Details

• Universe: One index security plus its constituent stocks.
• Signal: Open a dispersion trade when the average correlation of constituents is below CorrThreshold.
• Rebalance: Correlation checked every day.
• Positioning: Long constituents and short the index while the signal is active.
• Parameters:
  • Constituents – list of component securities.
  • LookbackDays – window size for correlation calculation.
  • CorrThreshold – correlation level that triggers trades.
  • MinTradeUsd – minimum order value in USD.
  • CandleType – timeframe for candles (default: 1 day).
• Note: The example omits transaction costs and assumes equal weighting.