Commit Graph

1 Commits

Author SHA1 Message Date
Louis Szeto 9eb71e1543 Mean Reversion Portfolio Construction Model (#6519)
Regression Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
* MRP

* Fix bug

* Rename

* Provide virtual `GetPriceRelative` function to override for any variants in future

* SymbolData class within model

* Address peer review

* fix bug

* revise unit test and fix bug in python model

* revise unit test and fix bug in model

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Revise regression statistics

* Address peer review

* Updated unit tests according to peer review

* Address peer review
2022-08-04 11:20:11 -03:00