An advanced mean-reversion trading strategy for ETF baskets using Bayesian Optimization to maximize Sharpe Ratio. Features walk-forward analysis, cointegration testing, and comprehensive backtesting reports.
python finance data-science quantitative-finance algorithmic-trading bayesian-optimization cointegration automated-trading backtesting mean-reversion etf-trading trading-strategy scikit-optimize johansen-test basket-trading
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Updated
Jan 25, 2026 - Jupyter Notebook