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Quantitative trading strategy / Kalman filter in R

该项目收到16 来自天才威客的竞标,平均竞标价格为$ USD

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项目预算
$250 - $550 USD
全部竞标
16
项目描述

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!

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