Pairs Trading Volatility Filter (C#). StockSharp

Author: StockSharp
N: 1864
v5.0.1 (7/30/2025)
Downloads: 54

The Pairs Trading Volatility Filter strategy uses the Pairs alongside volatility filters. It enters trades only when specified conditions align.
Signals require the indicator to surpass a threshold while volatility meets predefined criteria. Positions can be long or short with built-in stops.
Designed for traders who value risk control, the strategy exits as soon as the indicator mean reverts or volatility shifts. Initial setting LookbackPeriod = 20.

  • Entry Criteria: Indicator crosses back toward mean.
  • Long/Short: Both directions.
  • Exit Criteria: Indicator reverts to average.
  • Stops: Yes.
  • Default Values:

    • LookbackPeriod = 20
    • EntryThreshold = 2.0m
    • ExitThreshold = 0.0m
    • StopLossPercent = 2.0m

  • Filters:

    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Pairs
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Short-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium