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Study Using Kalman Filter #3

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chraberturas opened this issue Feb 12, 2024 · 0 comments · May be fixed by #7
Open
1 of 3 tasks

Study Using Kalman Filter #3

chraberturas opened this issue Feb 12, 2024 · 0 comments · May be fixed by #7
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@Kokechacho @chraberturas
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enhancement New feature or request
Milestone
Enhancements to P...

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@chraberturas
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chraberturas commented Feb 12, 2024 •
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Description

Enhance pair trading analysis by incorporating a Kalman Filter approach to dynamically adjust the hedge ratios between pairs for improved accuracy and profitability.

Objectives

  • Implement Kalman Filter to estimate optimal hedge ratios in real-time.
  • Compare the performance of Kalman Filter-based strategy with static hedge ratio strategies.
  • Analyze the impact of Kalman Filter adjustments on overall strategy performance.
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@Kokechacho Kokechacho

@chraberturas chraberturas

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enhancement New feature or request
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Enhancements to Pair Trading Strategy
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Implementing Kalman Filter for Pair Trading Strategy Enhancement hablapps/pairstrading
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@Kokechacho @chraberturas