Quantitative trading strategy / Kalman filter in R

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!

Umiejętności: R Język Programowania, Statystyka

Zobacz więcej: scalping strategy trading, sample strategy trading, correlation equity trading strategy, cointegrated pairs trading strategy, arbitrage trading strategy, kalman filter labview, trading strategy library, automated trading strategy ninjatrader, backtesting excel trading strategy, freelancer kalman filter

O pracodawcy:
( 3 ocen ) Schertz, United States

Numer ID Projektu: #11762571