StockSharp.Strategies.0365_Dispersion_Trading.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0365_Dispersion_Trading.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0365_Dispersion_Trading.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.0365_Dispersion_Trading.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.0365_Dispersion_Trading.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0365_Dispersion_Trading.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.0365_Dispersion_Trading.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0365_Dispersion_Trading.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.0365_Dispersion_Trading.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.0365_Dispersion_Trading.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0365_Dispersion_Trading.py&version=5.0.0
                    


                            Install as a Cake Tool

Dispersion Trading Strategy (Python Version)

The dispersion trading strategy exploits periods when an equity index and its constituents diverge. When the average pairwise correlation between index members drops below a threshold, the strategy buys the individual stocks and shorts the index, betting that correlations will mean‑revert.

Daily candles feed a rolling correlation window. If correlations recover above the threshold, all positions are closed. A minimum trade value is enforced to avoid tiny orders.

Details

  • Universe: One index security plus its constituent stocks.
  • Signal: Open a dispersion trade when the average correlation of constituents is below CorrThreshold.
  • Rebalance: Correlation checked every day.
  • Positioning: Long constituents and short the index while the signal is active.
  • Parameters:
    • Constituents – list of component securities.
    • LookbackDays – window size for correlation calculation.
    • CorrThreshold – correlation level that triggers trades.
    • MinTradeUsd – minimum order value in USD.
    • CandleType – timeframe for candles (default: 1 day).
  • Note: The example omits transaction costs and assumes equal weighting.
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
5.0.0 221 8/7/2025

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