Dr. Ernest P Chan – Mean Reversion Strategies In Python

Author:Dr. Ernest P Chan

MULTIPLY YOUR PORTFOLIO

Exploit a successful strategy Use technology to quickly multiply your portfolio using the same strategy across different instruments and asset classes.

Mean Reversion Strategies In Python

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This product is available

SKILLS COVERED

Mean Reversion Strategies

• Statistical Arbitrage
• Triplets Trading
• Index Arbitrage
• Long-short strategy

Math Concepts

• Correlation, Co-integration
• Stationarity
• Linear Regression
• ADF and Johansen Test
• Half Life

Python

• Adfuller,
• Statstools,
• Johansen,
• NumPy, Pandas,
• Matplotlib

PREREQUISITES

It is expected that you have some trading experience and understand basic financial markets terminology like sell, buy, margin, entry, exit positions. Some familiarity with t-statistics and autoregressive model is useful but not mandatory. If you want to be able to code strategies in Python, then experience to store, visualise and manage data using Pandas DataFrame is required. These skills are covered in our course ‘Python for Trading’.

AFTER THIS COURSE YOU’LL BE ABLE TO

Create four different types of mean reverting strategies

Perform statistical test for identifying stationarity and co-integration

Backtest pairs trading, triplets, index arbitrage and long-short strategy

Explain the role of risk management