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Mean Reversion Algorithm

For those interested. Mostly just posting this so I have an online backup lol

2 responses

Jacob,

Very impressive.

What exactly is this strategy? I can understand this code but why does it work so well? Where did you discover it and how? Your threshold values and X day moving averages are so specific, why these thresholds and ranges?

I'm relatively new to the algorithmic trading space and am trying to learn as much as I can so any guidance and tips would be appreciated.

Only 49 margin however shorting at 58778 makes profit vs risk only 103, benchmark 267. Also commissions and slippage are turned off. Max intraday leverage 1.83 on 2008-11-20.

Viable code and I would just turn down the shorting a bit.