Introduction to mean reversion strategy

Question 1

setting if true a new column to 1

Answer 1

df.loc[df.long_entry,’positions_long’]= 1

Question 2

simple moving average

Answer 2

df[‘moving_average’] = df.prices.rolling(5).mean()

Question 3

In Python, fillna function is available on dataframe to fill missing values. The syntax is:

Answer 3

df = df.fillna(method=’ffill’)

Question 4

Where are variables sotored

Answer 4

context.security

Question 5

When to close

Answer 5

time _rules.market_close(minutes=1)

Question 6

Hold logic

Answer 6

schedule_function

Question 7

entry function

Answer 7

def enter_position ( context , data ):

Question 8

price

Answer 8

price =data.history( context.security, [“close”] , 90 , “1 m”)

Question 9

Three important points

Answer 9

schedule strategy logic functions
stream and process data
place orders

Question 10

last You require the last 120 minutes of the close price data of a security. Which of the following options will fetch data to meet your criterion?

Answer 10

1. history(security, [‘close’], 120, ‘1m’)

Question 11

% orders of capital

Answer 11

order_percent

Question 12

What is Cointegration

Answer 12

Cointegration, combining of two different asset classes to increase stationarity, but with a spread between them.

Question 13

Define perfect hedge ratio

Answer 13

To established the Hedge ratio using linear regression.