logo
Welcome Guest! To enable all features please Login or Register.

Notification

Icon
Error

Options
Go to last post Go to first unread
MS Support  
#1 Posted : Tuesday, November 5, 2019 6:20:13 PM(UTC)
MS Support

Rank: Advanced Member

Groups: Moderators, Registered, Registered Users, Subscribers
Joined: 10/8/2010(UTC)
Posts: 1,960

Thanks: 92 times
Was thanked: 155 time(s) in 150 post(s)

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

Users browsing this topic
Guest (Hidden)
Forum Jump  
You cannot post new topics in this forum.
You cannot reply to topics in this forum.
You cannot delete your posts in this forum.
You cannot edit your posts in this forum.
You cannot create polls in this forum.
You cannot vote in polls in this forum.