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!

Habilidades: Lenguaje de Programación R, Estadísticas

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Información del empleador:
( 3 comentarios ) Schertz, United States

Nº del proyecto: #11762571