Dispersion Trading Strategy (C#). StockSharp

Author: StockSharp
N: 2000
v5.0.0 (8/7/2025)
Downloads: 0

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.

  • 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.