Mastering Python for Finance - Second Edition

Writing a mean-reverting strategy class

In this example, we are implementing a mean-reverting trading strategy on the AAPL stock price. Write the MeanRevertingStrategy child class that inherits the Strategy class from the previous section:

import pandas as pdclass MeanRevertingStrategy(Strategy):    def __init__(self, symbol, trade_qty,        send_order_event_handler=None, lookback_intervals=20,        buy_threshold=-1.5, sell_threshold=1.5    ):        super(MeanRevertingStrategy, self).__init__(            send_order_event_handler)        self.symbol = symbol        self.trade_qty = trade_qty        self.lookback_intervals = lookback_intervals        self.buy_threshold = buy_threshold        self.sell_threshold = sell_threshold        self.prices = pd.DataFrame()        self.is_long = self.is_short = False

In the constructor, ...