StockSharp.Strategies.0364_Currency_PPPValue.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0364_Currency_PPPValue.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0364_Currency_PPPValue.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.0364_Currency_PPPValue.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.0364_Currency_PPPValue.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0364_Currency_PPPValue.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.0364_Currency_PPPValue.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0364_Currency_PPPValue.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.0364_Currency_PPPValue.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.0364_Currency_PPPValue.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0364_Currency_PPPValue.py&version=5.0.0
                    


                            Install as a Cake Tool

Currency PPP Value Strategy (Python Version)

The Currency PPP Value strategy looks for mispricing relative to purchasing power parity (PPP). Currencies that trade below their PPP value are bought, while those trading above their PPP value are shorted. The portfolio is rebalanced monthly to maintain the long/short exposure.

Because PPP data updates infrequently, trades are only placed when the required adjustment exceeds a minimum USD amount. The sample code provides the framework for ranking currencies but leaves the actual PPP calculation as a placeholder.

Details

  • Universe: Set of currency pairs with available PPP estimates.
  • Signal: Long the K most undervalued currencies and short the K most overvalued.
  • Rebalance: Monthly.
  • Positioning: Long/short, equal weight.
  • Parameters:
    • Universe – tradable currencies.
    • K – number of currencies to long and short.
    • MinTradeUsd – minimum trade size in USD.
    • CandleType – candle timeframe (default: 1 day).
  • Note: PPP deviation retrieval (TryGetPPPDeviation) is not implemented and must be supplied by the user.
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
5.0.0 162 8/7/2025

fixes.