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Simple Mean Reversion (UIUC FEC Workshop)

The code from the workshop (is posting on the community only way to share an algo?)

fec.ec.illinois.edu

5 responses

3 Years backtest

Some ideas and tools, nearly double, just edging out benchmark by a nose at the wire.

Thanks for the additions and the comment ;)

I was actually sharing this code as a 30min lecture for UIUC's Financial Engineering Club hence why the comments are as if I were talking to non-CS background people.

Thibaut, very cool to see the algo shared as part of a lecture. What was the topic?

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