4.4
ETF Mean-Reversion
PYTHON PLUGIN
Etf
Mean Reversion
Description
Strategy 4.4: Mean-reversion on ETF z-score deviation from SMA
Strategy Logic
Strategy 4.4: ETF Mean Reversion.
Mean-reversion on ETF spreads. Compute the z-score of each ETF's
deviation from its SMA. Buy when z < -threshold, sell when z > +threshold.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| sma_period | 20 | int |
| z_lookback | 60 | int |
| entry_z | 2.0 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |