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Exercise

Build and backtest a mean reversion strategy

Previously, you constructed a signal using the RSI indicator. When the RSI value drops below 30, the signal is 1 for entering long positions in the market. When the RSI value rises above 70, the signal is -1 for entering short positions. Now you will implement a mean reversion strategy with the signal and perform a backtest on trading the Google stock.

The historical price data of the Google stock has been preloaded in price_data. In addition, the bt package has been imported for you.

Instructions 1/2

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  • Define a strategy RSI_MeanReversion with the signal you constructed in the previous exercise.