StockSharp.Strategies.0233_Beta_Neutral_Arbitrage.py 5.0.1

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dotnet add package StockSharp.Strategies.0233_Beta_Neutral_Arbitrage.py --version 5.0.1

NuGet\Install-Package StockSharp.Strategies.0233_Beta_Neutral_Arbitrage.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.0233_Beta_Neutral_Arbitrage.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.0233_Beta_Neutral_Arbitrage.py" Version="5.0.1" />
                    

                            Directory.Packages.props

<PackageReference Include="StockSharp.Strategies.0233_Beta_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.0233_Beta_Neutral_Arbitrage.py --version 5.0.1

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

#r "nuget: StockSharp.Strategies.0233_Beta_Neutral_Arbitrage.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.0233_Beta_Neutral_Arbitrage.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.0233_Beta_Neutral_Arbitrage.py&version=5.0.1
                    

                            Install as a Cake Addin

#tool nuget:?package=StockSharp.Strategies.0233_Beta_Neutral_Arbitrage.py&version=5.0.1
                    

                            Install as a Cake Tool

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

Beta Neutral Arbitrage Strategy (Python Version)

This strategy seeks to exploit pricing differences between two securities while neutralizing overall market beta. By adjusting positions based on each asset's beta to a common index, the portfolio aims to remain insensitive to broad market moves.

Testing indicates an average annual return of about 52%. It performs best in the crypto market.

A long spread goes long the asset with lower beta-adjusted price and shorts the other when the spread deviates beyond two standard deviations. A short spread does the reverse when the spread is above the mean. Trades are closed once the beta-adjusted spread reverts toward its average.

Beta neutral arbitrage is common among hedge funds looking for relative value without taking directional risk. A stop-loss is applied if the spread continues to widen instead of converging.

Details

Entry Criteria:
- Long: Beta-adjusted spread < Mean - 2*StdDev
- Short: Beta-adjusted spread > Mean + 2*StdDev
Long/Short: Both sides.
Exit Criteria:
- Long: Exit when spread approaches mean
- Short: Exit when spread approaches mean
Stops: Yes, percent stop-loss.
Default Values:
- CandleType = TimeSpan.FromMinutes(5)
- LookbackPeriod = 20
- StopLossPercent = 2m
Filters:
- Category: Arbitrage
- Direction: Both
- Indicators: Beta-adjusted spread
- Stops: Yes
- Complexity: Advanced
- Timeframe: Intraday
- Seasonality: No
- Neural networks: No
- Divergence: Yes
- Risk Level: High

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	214	8/7/2025
5.0.0	295	7/20/2025

Move state reset to OnReseted for strategies 231-240