Hi,
This is a edited mean-reversion strategy based on Seong Lee's template. The investment thesis listed as following:
1) Mean-Reversion: Short when price hit top bollinger, Long when price hit bottom bollinger
2) Small Cap Universe
3) Trade the top 100 stocks sort by highest liquidity
Questions I have, it would be extremely appreciated if these can be answered :D
1) I have changed the order type to order_target_percent; However, leverage still shows between 1~2.
2) How to filter US Equities small cap universe using pipeline?
3) How to sort the highest liquidity stocks first?
4) Please give any feedbacks on my code (positive or negative), I'm eager to learn
Many Thanks! Happy Thanksgiving!
Best,
Felix