Do you usng this models? I talk about mean reversion to ema of 1 stock time series
Could you clarify what you're looking for? Doing a quick search, here are some threads discussing EMA and mean reversion. That should give you a head start.
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Alisa Hi thanks for links,very intresting.
https://www.quantopian.com/posts/mean-reversion-algorithm-for-club-use
There are mean reversion between paair of stocks
My question is only about one stock and mean reversion to their long EMA
//example
spread=CurrentPrice-EMA(50)
zscore = (spread - np.mean(spread_wind)) / np.std(spread_wind)
if zscore >= entry_threshold_pos order(sec1, int(buy_amount_factor) But this is very simple model.The are no calculation in with state is market(big volatility or short volatility)
(mean-reversion work only on small volatility)
So i need mathematical models ,instruments to recognise flat and approve mean reversion hypotesis on this market
Another part of my qustion is about autoregression,GARTCH and another odels.
Problem is that this models does not have mean reversion comonent
So i need model which combine mean reversion and autoregression/Which can predict short term(1 step forward volatility and direction)
AR model just involves matrix inversion. You can do that with numpy. I'm not sure if there is a package in quantopian that gives you AR model itself.
Mean reversion (in time series language) is about periodicity. When you do the AR modeling, you can check if the error term has a periodicity. That points to mean reverting behavior. If it is present, you can backtest a trading strategy based on the behavior.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.