S&P 500 Mean-Reversion (Backtrader)

Mean-reversion strategy using dynamic S&P 500 membership.
Pipeline covers: data preparation (historical index membership + Yahoo Finance OHLCV), rolling z-scores, and an equally-weighted long/short Backtrader strategy with basic performance metrics.

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Features

• Handles changing S&P 500 constituents over time
• Downloads OHLCV via yfinance
• Computes rolling z-scores (lookback + 1-bar shift to avoid lookahead)
• Rebalances on a fixed frequency; equal-weight long/short
• Reports Sharpe, total return, start value, end value, max drawdown
• Saves CSVs and an equity curve plot

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Install

Using pip

python -m venv .venv && source .venv/bin/activate   # Windows: .venv\Scripts\activate
pip install -r requirements.txt
pip install -e .   # so `alpha_factor_research` is importable