3.9.1
Mean-Reversion Multiple Clusters
PYTHON PLUGIN
Stocks
Mean Reversion
Description
Strategy 3.9.1: Mean reversion within industry clusters
Strategy Logic
Strategy 3.9.1: Mean Reversion (Multiple Clusters).
Same s_i formula as 3.9 but computed within industry/sector clusters.
Stocks are grouped by 'sector' column in data, or by correlation-based
clustering if sector information is unavailable.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 21 | int |
| entry_threshold | 1.5 | float |
| n_clusters | 5 | int |
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% |