mean-reversion
CommunityIdentify and trade mean-reverting assets.
Finance & Accounting#quantitative finance#mean reversion#statistical arbitrage#pairs trading#time series analysis#stationarity testing
Authoragiprolabs
Version1.0.0
Installs0
System Documentation
What problem does it solve?
This Skill helps traders identify and capitalize on the statistical tendency for prices or spreads to revert to their long-term average, especially in ranging markets.
Core Features & Use Cases
- Stationarity Testing: Utilizes ADF tests, Hurst exponent, and Variance Ratio tests to confirm mean-reverting behavior.
- Parameter Estimation: Calculates half-life and Ornstein-Uhlenbeck parameters for strategy tuning.
- Signal Generation: Generates trading signals based on z-score deviations from the rolling mean.
- Use Case: Analyze the spread between two highly correlated cryptocurrencies to determine if it's mean-reverting, and if so, generate buy/sell signals when the spread deviates significantly from its average.
Quick Start
Run the mean-reversion analysis on synthetic data by executing python scripts/mean_reversion_test.py --demo.
Dependency Matrix
Required Modules
pandasnumpyscipyhttpx
Components
scriptsreferences
💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: mean-reversion Download link: https://github.com/agiprolabs/claude-trading-skills/archive/main.zip#mean-reversion Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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