Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Mean reverting VWAP algorithm
Simon Ford
posted Mar 11, 2014

Hi, looking to build a mean reverting Algorithm that references intra-day VWAP price. The purpose is to trade across a portfolio of stocks, which ultimately has multiple benchmarks versus Previous Close, Open, and Full-Day VWAP. Given the multiple benchmark aspect of the portfolio, I feel like a a mean reverting VWAP algo would be the logical choice for capturing performance across the multiple benchmarks. However, any other thoughts / suggestions are appreciated more minimizing market impact / transaction costs.

Thanks,
Simon

1 response
Dan Dunn
Mar 14, 2014

Hello Simon. Welcome to Quantopian!

I have only a few thoughts - I think I'd need more information to really help. But to start:

  • Use the history() command to track the previous close and open
  • Use history() as well to track the volume and price so you can do the VWAP over several days
  • You should use minutely mode, not daily, to build your algo. Do backtesting over short time periods (5 days?) while you're building your algo to keep your iterations quick, and then test over longer periods when you have the structure of the algo complete.
  • There are a few mean reversion algos already on Quantopian, but I didn't find one that is using history(). It's something that will be a great addition to our site!
Disclaimer

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.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

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.