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SPLV short term mean reversion

I tried for 5m to reproduce the results, no luck. Posting since it seems like an eminently doable quantopian algo. :)

2 responses

Hello Simon,

What issue do you have?

I've run one of my existing algorithms with SPLV (SIS 41382) and it works fine. If I use SPHB (SID 41381) instaed I get an error I can't explain:

IndexError: index out of bounds  
File, in handle_data  
File, in __getitem__  
File, in get_value  
File, in get_value  
File tslib.pyx:333, in pandas.tslib.get_value_box (pandas/tslib.c:6954)  
File tslib.pyx:347, in pandas.tslib.get_value_box (pandas/tslib.c:6801)  



Oh I meant I spent 5m writing a daily mean-reversion algorithm for SPLV but couldn't reproduce the results shown on this web page, I didn't have a technical problem per se.