Backtesting A Mean-Reversion Strategy In Python by Anthony Garner
You hear the term “mean reversion” thrown around a lot. What does it really mean and how can you create a mean-reversion strategy you can backtest? Here’s a step-by-step guide.
When prices drift too far away from the mean, there’s a strong chance they will revert to the mean. To put this theory to the test, I applied a mean-reversion system to the SPDR S&P 500 ETF (SPY) ...