Share New Research 
Introduction
Mean reversion in stock price is the assumption that the price will tend to move back to the average price over time. Mean reversion trading often refers to counter-trend or reversal trading. This algorithm will explore the mean reversion effect in country Equity Indices.
Method
The investment universe consists of 19 ETFs which invest in individual country Equity Indices.
The strategy is going to long on the bottom four countries with the worst 36-month return and short on the top 4 countries with the best 36-month return. The helper indicator method self.ROC(symbol, period, resolution)
is used to calculate 36-month return where the resolution is daily and the period is 36*21.
The portfolio is reweighted every three years. We create a Scheduled Event to fire every month. self.months is the variable to save the number of months, and the algorithm jumps the rebalance execution if the amount of passed months does not equate to 36.
Derek Melchin
See the attached backtest for an updated version of the algorithm in PEP8 style.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Jing Wu
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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