StockSharp.Strategies.0232_Correlation_Breakout.py 5.0.1

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dotnet add package StockSharp.Strategies.0232_Correlation_Breakout.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0232_Correlation_Breakout.py -Version 5.0.1

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<PackageReference Include="StockSharp.Strategies.0232_Correlation_Breakout.py" Version="5.0.1" />

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<PackageVersion Include="StockSharp.Strategies.0232_Correlation_Breakout.py" Version="5.0.1" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0232_Correlation_Breakout.py" />
                    

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paket add StockSharp.Strategies.0232_Correlation_Breakout.py --version 5.0.1

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#r "nuget: StockSharp.Strategies.0232_Correlation_Breakout.py, 5.0.1"

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#:package StockSharp.Strategies.0232_Correlation_Breakout.py@5.0.1

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#addin nuget:?package=StockSharp.Strategies.0232_Correlation_Breakout.py&version=5.0.1
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0232_Correlation_Breakout.py&version=5.0.1
                    

                            Install as a Cake Tool

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Correlation Breakout Strategy (Python Version)

This strategy monitors the rolling correlation between two assets. When correlation deviates sharply from its normal range, it may signal shifting relationships that produce tradeable trends.

Testing indicates an average annual return of about 49%. It performs best in the crypto market.

A long position buys the first asset and sells the second when correlation plunges below the average by more than Threshold standard deviations. A short position does the reverse when correlation spikes above the average. Trades are closed once correlation returns toward its mean.

Such setups aim to capture temporary dislocations in how assets move together. Stop-loss orders protect against the correlation continuing to diverge rather than mean-revert.

Details

Entry Criteria:
- Long: Correlation < Average - Threshold * StdDev
- Short: Correlation > Average + Threshold * StdDev
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when correlation nears the average
- Short: Exit when correlation nears the average
Stops: Yes, percent stop-loss.
Default Values:
- CandleType = TimeSpan.FromMinutes(5)
- LookbackPeriod = 20
- Threshold = 2m
- StopLossPercent = 2m
Filters:
- Category: Breakout
- Direction: Both
- Indicators: Correlation
- 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
5.0.1	166	8/7/2025
5.0.0	275	7/20/2025

Move state reset to OnReseted for strategies 231-240