StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion 5.0.2

Prefix Reserved 
dotnet add package StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion --version 5.0.2
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion -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.0226_Volatility_Adjusted_Mean_Reversion" 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.0226_Volatility_Adjusted_Mean_Reversion" Version="5.0.2" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion" />
                    


                            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.0226_Volatility_Adjusted_Mean_Reversion --version 5.0.2
                    


                    

                
#r "nuget: StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion, 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.0226_Volatility_Adjusted_Mean_Reversion@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.0226_Volatility_Adjusted_Mean_Reversion&version=5.0.2
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0226_Volatility_Adjusted_Mean_Reversion&version=5.0.2
                    


                            Install as a Cake Tool

Volatility Adjusted Mean Reversion Strategy (C# Version)

This variation of mean reversion scales entry thresholds by the ratio of ATR to standard deviation. When volatility increases relative to typical noise, the distance needed to trigger a trade grows, helping avoid premature signals during chaotic swings.

Testing indicates an average annual return of about 115%. It performs best in the stocks market.

A long position opens when price falls below the moving average by more than the adjusted threshold. A short position opens when price rises above the average by the same measure. Positions exit once price closes back near the average level.

The adaptive threshold makes this strategy suitable for markets with changing volatility regimes. A stop-loss equal to twice the ATR limits risk while waiting for reversion.

Details

  • Entry Criteria:
    • Long: Close < MA - Multiplier * ATR / (ATR/StdDev)
    • Short: Close > MA + Multiplier * ATR / (ATR/StdDev)
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when close >= MA
    • Short: Exit when close ⇐ MA
  • Stops: Yes, dynamic based on ATR.
  • Default Values:
    • Period = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: ATR, StdDev
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • 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
5.0.2 632 8/7/2025
5.0.1 706 7/20/2025
5.0.0 479 7/11/2025

Move state resets to OnReseted for strategies 224-227