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May 2019: Backtesting a Mean-Reversion Strategy in Python
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Anthony Garner's article, “Backtesting a Mean-Reversion Strategy in Python” presented a trading system and the code to backtest it using the Python language. The code to test the system in MetaStock is provided here.
General tab:
Name: Mean-Reversion Strategy
Notes:
Based on code provided by Anthony Garner
Buy Order tab:
Formula: Code:length:= 10;
sma:= mov(c,length, S);
lma:= mov(c, length*10, s);
dev:= std(c, length);
z:= (C - sma)/dev;
(z < -1) AND (sma > lma)
Sell Order tab:
Formula: Code:length:= 10;
sma:= mov(c,length, S);
lma:= mov(c, length*10, s);
dev:= std(c, length);
z:= (C - sma)/dev;
z > -0.5
Sell Short Order tab:
Formula: Code:length:= 10;
sma:= mov(c,length, S);
lma:= mov(c, length*10, s);
dev:= std(c, length);
z:= (C - sma)/dev;
(z > 1) AND (sma < lma)
Buy To Cover Order tab:
Formula: Code:length:= 10;
sma:= mov(c,length, S);
lma:= mov(c, length*10, s);
dev:= std(c, length);
z:= (C - sma)/dev;
z < 0.5
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May 2019: Backtesting a Mean-Reversion Strategy in Python
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