Mean Reversion Strategy (C#). StockSharp

Author: StockSharp
N: 1716
v5.0.1 (7/30/2025)
Downloads: 60

This statistical approach looks for short-term extremes in price relative to its recent average. The strategy uses a moving average to define fair value and measures the deviation from that mean through a standard deviation calculation.
Trades are opened when price pushes a set distance from the average. A dip below the lower band triggers a long entry, anticipating a rebound toward the mean, while a rally above the upper band prompts a short. Once price touches the moving average again, any open position is closed.
The method appeals to traders who prefer a contrarian style and want clearly defined entry and exit zones. Because it relies on volatility-based bands, it adapts to quieter or more active markets while still keeping losses in check via a fixed stop-loss.

  • Entry Criteria:

    • Long: Price < MA - k*StdDev (below lower band)
    • Short: Price > MA + k*StdDev (above upper band)

  • Long/Short: Both sides.
  • Exit Criteria:

    • Long: Exit when price crosses above the moving average
    • Short: Exit when price crosses below the moving average

  • Stops: Yes.
  • Default Values:

    • MovingAveragePeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)

  • Filters:

    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Mean Reversion
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium