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.
This exercise is part of the course
Financial Trading in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Define the strategy
bt_strategy = bt.Strategy('RSI_MeanReversion',
[____,
bt.algos.Rebalance()])