We develop a simple trading system exploiting the mean-reverting behaviour of the SP500 market index. To generate buy and sell signals, we will use simple moving averages as noise filters. Since we know that the SP500 is mean-reverting in a short term, we will use short-term moving averages.

http://tech.harbourfronts.com/mean-reverting-trading-system-quantitative-trading-in-python/