Long-only mean reversion on the z-score of the close. More...

#include <algotradelib/src/strategy/vanilla/reversion.hpp>

Collaboration diagram for algotradelib::strategy::vanilla::ZScoreReversion:

Classes
struct	Params
	The strategy's settings. More...

Public Member Functions
std::size_t	warmup_bars () const
	Returns how many bars to load before the first live bar.
template<class Ctx>
void	on_bar (Ctx &ctx, const BarEvent &bar)
	States a target position for the instrument when its signal enters or exits.

Public Attributes
Params	params_
	The settings.

Detailed Description

Long-only mean reversion on the z-score of the close.

Buys quantity_ when flat and the z-score over window_ closes is at or below -entry_; goes flat when holding and the z-score has risen to -exit_ or above. Exiting before the mean (exit_ > 0) keeps it from re-entering on the next small dip.

Definition at line 25 of file reversion.hpp.

Member Function Documentation

◆ on_bar()

template<class Ctx>

void algotradelib::strategy::vanilla::ZScoreReversion::on_bar	(	Ctx &	ctx,
		const BarEvent &	bar )

inline

States a target position for the instrument when its signal enters or exits.

Template Parameters

Ctx	The runner's context type.

Parameters

ctx	The context.
bar	The new bar.

Definition at line 58 of file reversion.hpp.

◆ warmup_bars()

std::size_t algotradelib::strategy::vanilla::ZScoreReversion::warmup_bars ( ) const

inline

Returns how many bars to load before the first live bar.

Returns: window_ + 1.

Definition at line 49 of file reversion.hpp.

Member Data Documentation

◆ params_

Params algotradelib::strategy::vanilla::ZScoreReversion::params_

The settings.

Definition at line 43 of file reversion.hpp.

Referenced by on_bar(), and warmup_bars().

The documentation for this struct was generated from the following file:

algotradelib/src/strategy/vanilla/reversion.hpp

Classes