Hi,
In the example of "compute Cumulative Strategy Returns' of Reversion Strategy, I bielive that the formula of df['daily_returns'] should be (df.spread - df.spread.shift(1))/df.spread.shift(1). It isn't the difference between df.daily_returns_ewa and model[0] * df.daily_returns_ewc.
Could you take a look?
Thank you for your feedback, Nghia. We have made the required changes.