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Convert a mean reverting ea from python to MQL5

MQL5 Experts Statistics and mathematics Python

Specification

Hi,

I am looking for someone to convert this strategy in Python to MQL5: QuantConnect.com - Embedded Backtest Results

The idea behind it is that, if you get two pairs of instruments that move in a similar direction (such as Gold and Silver), they will tend to revert to a mean that can be estimated using the Ornstein-Uhlenbeck Process. It is then used to maximize a log function.


There is a tutorial for it here:  Tutorials - Strategy Library - Optimal Pairs Trading - QuantConnect.com

And the paper for the strategy is here: 1411.5062.pdf (arxiv.org)

A video with an explanation is here: ATC Workshop 7: Optimal Pairs Trading with Ornstein-Uhlenbeck modeling (1.5x speed rec.) - YouTube


"STEPS FOR TRADING:

  1. Estimate Ornstein-Uhlenbeck (OU) Coefficients (theta, mu, sigma)

    1. Note for paper: Theta- long-term mean, mu is the force pulling our values back to theta, sigma is noise 

  2. Solve the Optimal Stopping problem, which gives us the best prices to buy and sell. This way we can buy low sell high

    1. b = optimal value at which we sell, d = optimal value at which we buy

    2. b > d, so we can buy low sell high

  3. Buy at the optimal entry, and sell at the optimal exit"


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