StockSharp.Strategies.0034_Low_Vol_Reversion.py 5.0.1

Prefix Reserved 
dotnet add package StockSharp.Strategies.0034_Low_Vol_Reversion.py --version 5.0.1
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0034_Low_Vol_Reversion.py -Version 5.0.1
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0034_Low_Vol_Reversion.py" Version="5.0.1" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0034_Low_Vol_Reversion.py" Version="5.0.1" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0034_Low_Vol_Reversion.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0034_Low_Vol_Reversion.py --version 5.0.1
                    


                    

                
#r "nuget: StockSharp.Strategies.0034_Low_Vol_Reversion.py, 5.0.1"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0034_Low_Vol_Reversion.py@5.0.1
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0034_Low_Vol_Reversion.py&version=5.0.1
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0034_Low_Vol_Reversion.py&version=5.0.1
                    


                            Install as a Cake Tool

Low Volatility Reversion (Python Version)

This mean-reversion strategy activates only during quiet markets. It measures ATR over a lookback window and enters when volatility falls below a percentage of that average and price deviates from its moving average.

Testing indicates an average annual return of about 139%. It performs best in the stocks market.

By trading against small moves in calm conditions, it aims to capture snap backs without chasing large trends.

Positions exit once price touches the moving average or the ATR-based stop-loss is reached.

Details

  • Entry Criteria: Price away from moving average while ATR is below threshold.
  • Long/Short: Both directions.
  • Exit Criteria: Price returns to MA or stop triggers.
  • Stops: Yes.
  • Default Values:
    • MAPeriod = 20
    • AtrPeriod = 14
    • AtrLookbackPeriod = 20
    • AtrThresholdPercent = 50m
    • AtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: ATR, MA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
There are no supported framework assets in this package.

Learn more about Target Frameworks and .NET Standard.

This package has no dependencies.

NuGet packages

This package is not used by any NuGet packages.

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Version Downloads Last Updated
5.0.1 223 8/7/2025
5.0.0 64 7/19/2025

Move reset logic to OnReseted in initial strategies