Learn how to backtest a high-frequency price shear mean reversion algorithmic trading system on multiple assets with multiple timeframes using Python and Pandas.
In this video, we’ll download minutely data from Kaggle, resample the data into 5 minute and daily bars, and analyze the data for a price shear.
What Is a Price Shear?
A price shear is simply an excessive move to the upside or downside relative to historical bars. We expect algos and traders to capture a profit from this move causing the price to mean revert.
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The price shear mean reversion strategy does work as antipiated; however, fees eat up all of the profits. The lesson here is the slippage and fees need to be modeled correctly especially when trading on higher-frequency timeframes.
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