Quantitative trading strategy / Kalman filter in R

Zamknięty Opublikowano 7 lat temu Płatność przy odbiorze
Zamknięty Płatność przy odbiorze

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!

R Język Programowania Statystyka

Numer ID Projektu: #11762571

O projekcie

12 ofert Zdalny projekt Aktywny 7 lat temu