Repository for the Trading Team Project based on Mean Reversion for QFin Semester 1 2022. Developed by Jake Lyell
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Updated
Mar 29, 2022 - HTML
Repository for the Trading Team Project based on Mean Reversion for QFin Semester 1 2022. Developed by Jake Lyell
Comparative study between statistical and machine learning based strategies for high frequency trading of assets
This script implements a mean reversion strategy for a given stock. It calculates the z-scores for the stock's price and generates entry and exit signals based on predefined thresholds. The script also performs a backtest on the strategy and visualizes the returns.
Quick calculation for profit loss of trades.
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