Back to Posts
Listen to Thread

http://marketsci.wordpress.com/2013/04/17/short-term-mean-reversion-in-splv-low-vol-vs-sphb-high-beta/

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

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 test_algorithm_sycheck.py:33, in handle_data  
File series.py:503, in __getitem__  
File index.py:1092, in get_value  
File index.py:732, 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)  

Regards,

Peter

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.

Log in to reply to this thread.
Not a member? Sign up!