3.9
Mean-Reversion Single Cluster
PYTHON PLUGIN
Stocks
Mean Reversion
Description
Strategy 3.9: Log-return mean reversion across single cluster
Strategy Logic
Strategy 3.9: Mean Reversion (Single Cluster).
s_i = -sum(log(P_i,t / P_i,t-1), t over lookback) / sigma_i
Go long stocks with positive s (recently fallen), short stocks
with negative s (recently risen). Single cluster treats the
entire universe as one group.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 21 | int |
| entry_threshold | 1.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 10.0% |