Mean Reversion Trading Strategy

Summary

This analysis creates a portfolio of assets that is cointegrated and mean reverting. Using a linear mean reverting trading strategy on the portfolio, we assess its performance and risk analytics.

Cryptocurrenies are trading assets used in this analysis. Namely, Bitcoin, Ethereum and Litcoin.

Notebook

1. https://github.com/edgetrader/mean-reversion-strategy/blob/master/notebook/mean-reversion-strategy.ipynb

Reference

1. https://letianzj.github.io/cointegration-pairs-trading.html
2. https://blog.quantinsti.com/johansen-test-cointegration-building-stationary-portfolio/?utm_campaign=News&utm_medium=Community&utm_source=DataCamp.com
3. https://www.statsmodels.org/dev/generated/statsmodels.tsa.vector_ar.vecm.coint_johansen.html
4. https://flare9xblog.wordpress.com/2017/09/27/half-life-of-mean-reversion-ornstein-uhlenbeck-formula-for-mean-reverting-process/#:~:text=Mean%20reverting%20series%20exhibit%20negative,%E2%88%92log(2)%2F%CE%BB%20.
5. https://quant.stackexchange.com/questions/2076/how-to-interpret-the-eigenmatrix-from-a-johansen-cointegration-test
6. https://pythonforfinance.net/2016/07/10/python-backtesting-mean-reversion-part-4/#more-15487
7. https://medium.com/bluekiri/cointegration-tests-on-time-series-88702ea9c492
8. https://medium.com/bluekiri/simple-stationarity-tests-on-time-series-ad227e2e6d48