Pairs Trading Volatility Filter (Python)

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