StockSharp.Strategies.0217_Pairs_Trading.py 5.0.1

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dotnet add package StockSharp.Strategies.0217_Pairs_Trading.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0217_Pairs_Trading.py -Version 5.0.1

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<PackageReference Include="StockSharp.Strategies.0217_Pairs_Trading.py" Version="5.0.1" />

For projects that support PackageReference, copy this XML node into the project file to reference the package.

<PackageVersion Include="StockSharp.Strategies.0217_Pairs_Trading.py" Version="5.0.1" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0217_Pairs_Trading.py" />
                    

                            Project file

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paket add StockSharp.Strategies.0217_Pairs_Trading.py --version 5.0.1

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#r "nuget: StockSharp.Strategies.0217_Pairs_Trading.py, 5.0.1"

#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package.

#:package StockSharp.Strategies.0217_Pairs_Trading.py@5.0.1

#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package.

#addin nuget:?package=StockSharp.Strategies.0217_Pairs_Trading.py&version=5.0.1
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0217_Pairs_Trading.py&version=5.0.1
                    

                            Install as a Cake Tool

The NuGet Team does not provide support for this client. Please contact its maintainers for support.

Pairs Trading Strategy (Python Version)

This pairs trading strategy monitors the price spread between two correlated instruments. By comparing the spread to its historical mean and standard deviation, the system attempts to exploit temporary divergences that eventually revert.

Testing indicates an average annual return of about 88%. It performs best in the stocks market.

A long spread is entered when the spread drops below its mean by more than the specified deviation multiplier. This means buying the first asset and selling the second. A short spread does the opposite when the spread rises above the mean by the same amount. Positions are closed once the spread returns to the average level.

Pairs trading appeals to market neutral traders who prefer relative-value opportunities rather than outright direction. Because both legs are hedged, volatility tends to be lower, though the strategy still uses a stop-loss on the spread to manage risk.

Details

Entry Criteria:
- Long: Spread < Mean - Multiplier * StdDev
- Short: Spread > Mean + Multiplier * StdDev
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when spread reverts to the mean
- Short: Exit when spread reverts to the mean
Stops: Yes, percentage stop based on spread value.
Default Values:
- LookbackPeriod = 20
- DeviationMultiplier = 2.0m
- StopLossPercent = 2m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Arbitrage
- Direction: Both
- Indicators: Spread statistics
- Stops: Yes
- Complexity: Intermediate
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: Yes
- Risk Level: Medium

There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

GitHub repositories

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Version	Downloads	Last Updated
5.0.1	233	8/7/2025
5.0.0	346	7/20/2025

Refactor strategy reset handling