Quantitative trading strategy / Kalman filter in R
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项目预算$250 - $550 USD
This project involves completely replicating the Kalman filter, trading/backtest strategy, and results (in R) in the attached academic paper. I have included historical data for the E-mini futures contract as well. This project requires:
1. R code of Kalman filter "4" from the paper
2. R code of trading strategy/backtest from the paper using Kalman filter "4"
3. Accurate replication/validation of trading results/backtests using parameters specified in the paper for Kalman filter "4"
Please reference the attached literature for more information. Thank you!
- The New York Times
- Wall Street Journal
- Times Online