Here is something I tried. Get a bunch of stocks, identify statistical risk factors and create a portfolio such that its exposure to all factors is zero. It should by nature be mean reverting. Unfortunately the opportunity is scant and there are long periods without any trades.
I want to try this on several portfolios (3 at the moment) such as 50/60 portfolios so that there is opportunity every day. My python skills are rusty. Could someone modify this algorithm so that it can scale to 50 or 60 portfolios without duplicating code for each portfolio like I did?