StockSharp.Strategies.0219_Statistical_Arbitrage 5.0.2

Prefix Reserved

dotnet add package StockSharp.Strategies.0219_Statistical_Arbitrage --version 5.0.2

NuGet\Install-Package StockSharp.Strategies.0219_Statistical_Arbitrage -Version 5.0.2

This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package.

<PackageReference Include="StockSharp.Strategies.0219_Statistical_Arbitrage" Version="5.0.2" />

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

<PackageVersion Include="StockSharp.Strategies.0219_Statistical_Arbitrage" Version="5.0.2" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0219_Statistical_Arbitrage" />
                    

                            Project file

For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package.

paket add StockSharp.Strategies.0219_Statistical_Arbitrage --version 5.0.2

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

#r "nuget: StockSharp.Strategies.0219_Statistical_Arbitrage, 5.0.2"

#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.0219_Statistical_Arbitrage@5.0.2

#: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.0219_Statistical_Arbitrage&version=5.0.2
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0219_Statistical_Arbitrage&version=5.0.2
                    

                            Install as a Cake Tool

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

Statistical Arbitrage Strategy (C# Version)

This statistical arbitrage approach trades a pair of related securities based on their relative positioning around moving averages. By comparing each asset to its own average, the strategy seeks to exploit short-term dislocations that should converge over time.

Testing indicates an average annual return of about 94%. It performs best in the stocks market.

A long position is initiated when the first asset trades below its moving average while the second asset trades above its own average. A short position occurs when the first asset is above its average and the second is below. Positions are closed when the first asset crosses back through its moving average, signalling the spread has normalized.

The method is ideal for market-neutral traders comfortable balancing exposure across two instruments. The built-in stop-loss limits drawdowns if the spread widens further instead of reverting.

Details

Entry Criteria:
- Long: Asset1 < MA1 && Asset2 > MA2
- Short: Asset1 > MA1 && Asset2 < MA2
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when Asset1 closes above its MA1
- Short: Exit when Asset1 closes below its MA1
Stops: Yes, percent stop-loss on spread.
Default Values:
- LookbackPeriod = 20
- StopLossPercent = 2m
- CandleType = TimeSpan.FromMinutes(15)
Filters:
- Category: Arbitrage
- Direction: Both
- Indicators: Moving Averages
- 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

This package is not used by any popular GitHub repositories.

Version	Downloads	Last Updated
5.0.2	8	8/7/2025
5.0.1	273	7/20/2025
5.0.0	51	7/11/2025

Refactor strategy reset handling