StockSharp.Strategies.0244_OBV_Mean_Reversion.py 5.0.1

Prefix Reserved 
dotnet add package StockSharp.Strategies.0244_OBV_Mean_Reversion.py --version 5.0.1
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0244_OBV_Mean_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.0244_OBV_Mean_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.0244_OBV_Mean_Reversion.py" Version="5.0.1" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0244_OBV_Mean_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.0244_OBV_Mean_Reversion.py --version 5.0.1
                    


                    

                
#r "nuget: StockSharp.Strategies.0244_OBV_Mean_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.0244_OBV_Mean_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.0244_OBV_Mean_Reversion.py&version=5.0.1
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0244_OBV_Mean_Reversion.py&version=5.0.1
                    


                            Install as a Cake Tool

OBV Mean Reversion Strategy (Python Version)

On Balance Volume (OBV) tracks cumulative volume flow to determine whether buyers or sellers are dominant. This strategy waits for OBV to diverge sharply from its average and then trades in anticipation of a return to typical levels.

Testing indicates an average annual return of about 79%. It performs best in the stocks market.

A buy signal occurs when OBV falls below its average minus Multiplier times the standard deviation and price is below the moving average. A sell signal is generated when OBV rises above the upper band with price above the average. Positions close when OBV crosses back through its mean line.

The approach is useful for traders who consider volume flows in addition to price action. Stops are placed a set percentage away to handle situations where volume continues to accelerate.

Details

  • Entry Criteria:
    • Long: OBV < Avg - Multiplier * StdDev && Close < MA
    • Short: OBV > Avg + Multiplier * StdDev && Close > MA
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when OBV > Avg
    • Short: Exit when OBV < Avg
  • Stops: Yes, percent stop-loss.
  • Default Values:
    • AveragePeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: OBV
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
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Learn more about Target Frameworks and .NET Standard.

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Version Downloads Last Updated
5.0.1 214 8/7/2025
5.0.0 291 7/20/2025

Refactor strategy reset handling