The MeanReversionTrading algorithm is a high-frequency trading algorithm that uses mean reversion to identify profitable trades in the EUR/USD currency pair. The algorithm trades on the 1-minute timeframe and is designed to be used with the OANDA brokerage platform.
To run the MeanReversionTrading algorithm and backtesting script, you will need the following Python packages:
- oandapyV20
- pandas
- numpy
- matplotlib
You can install these packages by running pip install -r requirements.txt in your terminal.
Before running the algorithm, you will need to create a config.py file containing your OANDA API access credentials. The file should look like this:
You should replace the os.environ.get() calls with your actual API key and account ID.
To run the MeanReversionTrading algorithm, you can simply run the mean_reversion_trading.py script. The algorithm will automatically start trading on the OANDA platform.
To backtest the MeanReversionTrading algorithm, run the backtest.py script. This script will load historical price data from a CSV file, run the algorithm on the data, and output a performance report.
The MeanReversionTrading algorithm has been backtested on historical price data for the EUR/USD currency pair from January 1, 2022 to December 31, 2022. The algorithm achieved a total return of 15.23%, with a maximum drawdown of -2.18%.
This project is licensed under the MIT License - see the LICENSE file for details.