Mean Reversion Trading Team Project Semester 1 2022

Due date: Roughly 2022-04-24

Repository for the Trading Team Project based on Mean Reversion for QFin Semester 1 2022

Requirements: python + pip

Install dependencies:

pip install -r requirements.txt

Run:

python mean_reversion.py

Datasets used can be changed within momentum_algorithm.py. Download extra data (Optional) using API_Interface.py

To Do

• Add discord webhook for repo
• Set up repo
  • Add Kai to repo
• Figure out regular meeting time (Monday 14:00 each week)
• Come up with actual roadmap
• Determine mean reversion strategy
• Determine meme reversion strategy its all meme reversion
  • This could be for very low volume stocks, or only apply for edge cases
  • Or just completely seperate module
• Develop prototype algorithm
• Write optimisation testing scripts rip
• Optimise parameters
• ???
• Profit
• Write report

Useful Resources:

• Pandas Documentation: https://pandas.pydata.org/docs/

• Bollinger Band Generation in Pandas: https://www.learnpythonwithrune.org/pandas-calculate-and-plot-the-bollinger-bands-for-a-stock/

• Past Projects (Momentum Trading was completed on similar backend):

• Mean Reversion Resources:

  • https://decodingmarkets.com/mean-reversion-trading-strategy/
  • https://www.quantstart.com/articles/Basics-of-Statistical-Mean-Reversion-Testing/
  • https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3295&context=sis_research
  • https://forextraininggroup.com/finding-an-edge-with-mean-reversion-trading-strategies/
  • https://www.youtube.com/watch?v=IK7pnQW20M4&ab_channel=FinancialSource
  • https://www.youtube.com/watch?v=9yTrfhvJhUw&ab_channel=CriticalTrading
  • https://www.youtube.com/watch?v=0PfgqNYTl4Q&ab_channel=MattMacarty