StockSharp.Strategies.0222_Cointegration_Pairs 5.0.2

Prefix Reserved

dotnet add package StockSharp.Strategies.0222_Cointegration_Pairs --version 5.0.2

NuGet\Install-Package StockSharp.Strategies.0222_Cointegration_Pairs -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.0222_Cointegration_Pairs" 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.0222_Cointegration_Pairs" Version="5.0.2" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0222_Cointegration_Pairs" />
                    

                            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.0222_Cointegration_Pairs --version 5.0.2

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

#r "nuget: StockSharp.Strategies.0222_Cointegration_Pairs, 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.0222_Cointegration_Pairs@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.0222_Cointegration_Pairs&version=5.0.2
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0222_Cointegration_Pairs&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.

Cointegration Pairs Strategy (C# Version)

This strategy trades two assets that share a long-term cointegration relationship. By calculating the residual between the first asset and a beta-adjusted second asset, it looks for deviations that historically revert back to equilibrium.

Testing indicates an average annual return of about 103%. It performs best in the stocks market.

A long position buys the first asset and sells the second when the residual z-score drops below -EntryThreshold. A short position sells the first and buys the second when the z-score rises above the threshold. Positions are closed once the spread normalizes toward zero.

Cointegration pairs trading suits statistical arbitrageurs comfortable managing two instruments simultaneously. The built-in stop-loss protects against extreme moves if the relationship temporarily breaks down.

Details

Entry Criteria:
- Long: Residual Z-Score < -EntryThreshold
- Short: Residual Z-Score > EntryThreshold
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when |Z-Score| < 0.5
- Short: Exit when |Z-Score| < 0.5
Stops: Yes, percentage stop-loss.
Default Values:
- Period = 20
- EntryThreshold = 2.0m
- Beta = 1.0m
- StopLossPercent = 2.0m
- CandleType = TimeSpan.FromMinutes(5)
Filters:
- Category: Arbitrage
- Direction: Both
- Indicators: Cointegration
- 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	231	8/7/2025
5.0.1	347	7/20/2025
5.0.0	109	7/11/2025

fixes
Move state resets to OnReseted for strategies 224-227