Mean Reversion Trading Strategy Using Python

#Programming #Python
Mean Reversion Trading Strategy Using Python:
In this video you will learn how to create a simple mean reversion trading strategy for an asset using the python programming language. According to Investopedia, mean reversion, or reversion to the mean, is a theory used in finance (rooted in a concept well known as regression towards the mean) that suggests that asset price volatility and historical returns eventually will revert to the long-run mean or average level of the entire dataset.
Disclaimer: The material in this video is purely for educational purposes and should not be taken as professional investment advice. Invest at your own discretion.
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[@TheVd101]

Nice video, but your strategy has look ahead bias as you use the entire dataset to construct your percentiles. This means that the percentile values take into account future price data that would not have been known at the time. One solution to try would be to calculate percentiles based on a rolling window of the past X days.

[@pat2715]

genuinely the most helpful thing I've seen as a beginner

[@izem9652]

Man that was exactly what I was looking for, what a timing thanks

[@pragneshmistry6845]

Great video on Mean Reversion Strategy using Python! I followed along and implemented the same entry and exit signals in the Vectorbt Python library. Surprisingly, the buy and hold results aligned with what you showed in the video, but the strategy returns differed. I’m curious to know what could be causing this discrepancy. Looking forward to your insights!”

[@navketan1965]

Sir, My strategy is based on end of day closing prices of forex(multiple pairs daily). Standing Orders are entered with the daily trend & placed at distance of 70% of daily ATR(distance D), away from closing price with take profit of 50% & stop loss of 50%(of distance D)--win or lose, no manual interference. Next day new orders are entered based on end of day closing prices. All previous day's unfilled orders are cancelled(but no manual interference with executed but open orders).Based on option probability theory/ Brownian motion, the SYSTEM should make money, if trader SITS & does not fool around using his brain. Your wisdom & thank you

[@craftyle]

How does it worked the last months?

[@FireFly969]

this stratey looks interesting, its just need more great ideas of entires and exit, and maybe some other conditions

[@marcogelsomini7655]

nice and simple approach with percentiles. good work!

[@RenatoSmileS]

Very interesting video! Thank you so much!! 😃👍

[@notrentner1010]

genuinely curios as to why you're not using yahoo api, would make the first 5 min of the video superfluous.

[@shadowangel8005]

hey, do you have a link to the google colab for this strategy ?

[@razaahmedkhan9825]

Thanks for the video sir 👍

[@ProfitScalpKing1]

This is amazing bruh, thanks so much

[@rajeshmanjrekar3614]

i have been dissapointed with your videos time and again, i want to subscribe to your chanel but the final report NEVER matches the video results. This has happened to me in several of your videos. Surprisingly when i ommitted the line df["Positions"] = df["Positions"].ffill, i got the required result.....shocking !!!!

[@endeavorsu7174]

yeah, the ffill step is definitely problematic

[@sebastianrodriguez672]

Good video but the sma is not calculated correctly. You consider the close price of the same day but you actually don't have it until the sesión ends, so yo need to consider the days before

[@xaviercanedos]

Awesome video

[@andydracula1987]

I've got one question after watched this video. How can I get the data of day 10 for calculating the percentile when I'm in day 1?

[@ashwinkothari9646]

does this strategy assume shorting is done as well?

[@sherlockhobbes423]

This is fantastic

[@jeongyoo8985]

so do you actually trade and make money using these types of algorithms? Not trying to criticize but genuinely curious...

[@aaronsarinana1654]

Great video! Thanks!

[@ComputerSciencecompsci112358]

Thanks!

[@jinyonglim]

Thanks

[@adityagarg6734]

First comment 🥇

[@maxiperelli8570]

Where can I go to learn python trading ?

[@dcchase8225]

Thanx bro

[@endeavorsu7174]

I don't think the df["Positions"] = df["Positions"].ffill is a right step.

[@armanyaseen213]

Can we get the python file?