Trading Strategy Backtest

Welcome back everyone, finally I have found a little time to get around to finishing off this short series on Python Backtesting Mean Reversion strategy on ETF pairs.

In the last post we got as far as creating the spread series between the two ETF price series in question (by first running a linear regression to find the hedge ratio) and ran an Augmented Dickey Fuller test, along with calculating the half-life of that spread series to see whether it was a decent candidate for a tradable strategy pair.

Hi all, welcome back. This blog post is going to deal with creating the initial stages of our Python backtesting mean reversion script – we’re going to leave the “symbol pairs” function we created in the last post behind for a bit (we’ll come back to it a bit later) and use a single pair of symbols to run our first few stages of the backtest to keep it simple.

Once we have the script working for a single input of one pair of symbols, we can very easily adapt it at the end to work with the symbol pairs function created previously.