StockSharp.Strategies.0043_VCP.py 5.0.1

Prefix Reserved 
dotnet add package StockSharp.Strategies.0043_VCP.py --version 5.0.1
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0043_VCP.py -Version 5.0.1
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.0043_VCP.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.0043_VCP.py" Version="5.0.1" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0043_VCP.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.0043_VCP.py --version 5.0.1
                    


                    

                
#r "nuget: StockSharp.Strategies.0043_VCP.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.0043_VCP.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.0043_VCP.py&version=5.0.1
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0043_VCP.py&version=5.0.1
                    


                            Install as a Cake Tool

Volatility Contraction Pattern (Python Version)

The VCP strategy looks for a sequence of narrowing price ranges. As each range contracts, energy builds for a breakout. The system measures range size and waits for a break above the highest high or below the lowest low.

Testing indicates an average annual return of about 166%. It performs best in the stocks market.

Once contraction is observed, a breakout beyond the recent extremes triggers a trade in that direction. Price crossing the moving average is used to manage exits.

This approach aims to capture explosive moves following a volatility squeeze.

Details

  • Entry Criteria: Range contraction then breakout of recent high/low.
  • Long/Short: Both directions.
  • Exit Criteria: Price crosses MA or stop.
  • Stops: Yes.
  • Default Values:
    • MAPeriod = 20
    • LookbackPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Breakout
    • Direction: Both
    • Indicators: Range, MA
    • 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.

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Version Downloads Last Updated
5.0.1 164 8/7/2025
5.0.0 19 7/19/2025

Move reset logic to OnReseted in initial strategies