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Pairs Trading Stocks Strategy (C#)
Published
Aug 7, 2025
1y ago
Total Downloads
763
763
Install
dotnet add package StockSharp.Strategies.0388_Pairs_Trading_Stocks --version 5.0.0
No framework information available.
README
Pairs Trading Stocks Strategy (C# Version)
This simplified pairs trading strategy operates on multiple stock pairs. For each pair the price ratio is tracked over a rolling window and its z-score is computed. When the z-score exceeds an entry threshold a long/short trade is opened; positions are closed when the z-score reverts.
The algorithm supports trading multiple independent pairs simultaneously.
Details
- Universe: list of stock pairs.
- Signal: z-score of price ratio crossing
EntryZ. - Exit: close when z-score reaches
ExitZ. - Data: daily candles with 60-day lookback by default.
- Risk control: trades skipped when order value below
MinTradeUsd.
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