StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py 5.0.0

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dotnet add package StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py --version 5.0.0

NuGet\Install-Package StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py -Version 5.0.0

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.0230_Delta_Neutral_Arbitrage.py" Version="5.0.0" />

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

<PackageVersion Include="StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py" Version="5.0.0" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py" />
                    

                            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.0230_Delta_Neutral_Arbitrage.py --version 5.0.0

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#r "nuget: StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py, 5.0.0"

#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.0230_Delta_Neutral_Arbitrage.py@5.0.0

#: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.0230_Delta_Neutral_Arbitrage.py&version=5.0.0
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0230_Delta_Neutral_Arbitrage.py&version=5.0.0
                    

                            Install as a Cake Tool

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

Delta Neutral Arbitrage Strategy (Python Version)

This arbitrage strategy trades the spread between two correlated assets while keeping the combined position close to delta neutral. By balancing a long position in one asset against a short in another, it attempts to profit from mean reversion in the spread rather than market direction.

A long spread is entered when the z-score of the price difference falls below -EntryThreshold. The first asset is bought and the second is sold in equal size. A short spread does the reverse when the z-score rises above the positive threshold. The trade is closed once the spread returns to the moving average.

Delta neutral trading is popular among quantitative traders seeking low volatility exposure. Although hedged, stop-loss protection is still applied to guard against extreme divergence between the assets.

Details

Entry Criteria:
- Long: Spread Z-Score < -EntryThreshold
- Short: Spread Z-Score > EntryThreshold
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when spread crosses back above mean
- Short: Exit when spread crosses back below mean
Stops: Yes, percent stop-loss on spread value.
Default Values:
- LookbackPeriod = 20
- EntryThreshold = 2m
- 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

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Version	Downloads	Last Updated
5.0.0	272	7/20/2025