Need help finding a simple mean reversion algo by Bill McCabe

Bill McCabe

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I am pretty new to this but was hoping to break into the algo trading world. I am looking for a couple of mean reversion algo's written in python. I am looking to start on the EUR/USD, and then branch out from there. I was hoping for a pretty simple algo so that i can use that as a blueprint and expand it once I get more experience. Any help would be appreactiated.

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Bill McCabe

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Bill McCabe

119 ,

I am having trouble doing these things in python

#finding the current price and making that a live variable
#finding the mean and making that a live variable
#deciding on the difference needed to pull the triger
#finding out how to do a buy Order
#finding out how to store the current price as a non-live variable
#finding out how to take profit and stop loss
#finding out how to do a sell Order

Alexandre Catarino

We can find the price of a given security anytime in the Securities object:

price = self.Securities["EURUSD"].Price

However, if we are at the OnData event handler, we are receiving that data:

# OnData(self, slice)

price = slice["EURUSD"].Value

The mean of a price series can be calculated using the SimpleMovingAverage indicator. The SMA helper method creates that indicator and updates it accordingly:

# Initialize

# 30-day simple moving average with daily frequency

self.sma = self.SMA("EURUSD", 30, Resolution.Daily)



# OnData

if price > self.sma.Current.Value:

    # Buy order, stop order and take profit order go here

Please checkout a working example below:

Bill McCabe

119 ,

Thanks Alexandre! I'll take a look and try to make my own.

István Kürtösi

79 ,

Hi Alexandre, thank you, I was followin your advice.

Is there a way to get the Bid or Ask price for a currencypair? I see this documentation for Options:

https://www.quantconnect.com/terminal/#open/681495

...but for FOREX I cannot find any reference in the documentation for "chain/chains". Any idea?

István Kürtösi

79 ,

In the meanwhile I think I found the answer in other comments, so there are no Bid/Ask prices for FOREX:

https://www.quantconnect.com/forum/discussion/952/resolutiontick--askbid-data

Alexandre Catarino

When we access the data in the Slice object we receive in OnData(Slice), we can get the Bid and Ask like this:

// In OnData(Slice)

// QuoteBar object has OHLC Bid and Ask

var quoteBar = data[atmContract.Symbol];

bid = quoteBar.Bid.Close;

ask = quoteBar.Ask.Close;

Alternatively, we can use the Security object in other methods:

var symbol = atmContract.Symbol;

bid = Securities[symbol].BidPrice

ask = Securities[symbol].AskPrice

István Kürtösi

79 ,

Hi Alexandre,

thank you for your answer, so I was wrong above, sorry about it.

Also for others, probably it helps, here is an example of applying your code in Python:

quoteBar = slice['EURUSD']

bid = quoteBar.Bid.Close

ask = quoteBar.Ask.Close

Bill McCabe

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