StockSharp.Strategies.0229_Autocorrelation_Reversal.py 5.0.1

Prefix Reserved 
dotnet add package StockSharp.Strategies.0229_Autocorrelation_Reversal.py --version 5.0.1
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0229_Autocorrelation_Reversal.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.0229_Autocorrelation_Reversal.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.0229_Autocorrelation_Reversal.py" Version="5.0.1" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0229_Autocorrelation_Reversal.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.0229_Autocorrelation_Reversal.py --version 5.0.1
                    


                    

                
#r "nuget: StockSharp.Strategies.0229_Autocorrelation_Reversal.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.0229_Autocorrelation_Reversal.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.0229_Autocorrelation_Reversal.py&version=5.0.1
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0229_Autocorrelation_Reversal.py&version=5.0.1
                    


                            Install as a Cake Tool

Autocorrelation Reversal Strategy (Python Version)

This strategy analyzes short-term price autocorrelation to gauge whether recent moves are likely to reverse. Negative autocorrelation suggests successive price changes tend to alternate direction, creating mean-reverting conditions.

Testing indicates an average annual return of about 124%. It performs best in the forex market.

When the calculated autocorrelation falls below the threshold and price is below a moving average, the system buys in anticipation of a bounce. If autocorrelation is negative and price is above the average, a short position is opened. Exits occur once price crosses the average or autocorrelation rises above the threshold.

The approach is suited for traders looking for statistical edges rather than chart patterns. A percentage stop-loss is applied to protect against sustained trends that violate the expected reversal.

Details

  • Entry Criteria:
    • Long: Autocorrelation < Threshold && Close < MA
    • Short: Autocorrelation < Threshold && Close > MA
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when Close > MA or autocorrelation > Threshold
    • Short: Exit when Close < MA or autocorrelation > Threshold
  • Stops: Yes, percent stop-loss.
  • Default Values:
    • AutoCorrPeriod = 20
    • AutoCorrThreshold = -0.3m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Autocorrelation, 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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NuGet packages

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Version Downloads Last Updated
5.0.1 165 8/7/2025
5.0.0 273 7/20/2025

Move state resets to OnReseted for strategies 224-227