Quantitative trading strategy / Kalman filter in R
$250-550 USD
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!
Numer ID Projektu: #11762571