Beta Neutral Arbitrage Strategy (C#). StockSharp

Author: StockSharp
N: 1750
v5.0.1 (7/30/2025)
Downloads: 52

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.
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.

  • 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