Hello,
I am new here, I like the site a lot, it has a big value for pair traders.
I have few questions:
1. the backtester, what periods of price it uses? minute data? tick data, daily data...and how's it's fed into the kalman fiters?
2. the kalman fiters grid 2 and auto - can you share your code modifications for each one with this code template? I am using python.
# y is 1-dimensional, (alpha, beta) is 2-dimensional
kf = KalmanFilter(n_dim_obs=1, n_dim_state=2,
initial_state_mean=np.ones(2),
initial_state_covariance=np.ones((2, 2)),
transition_matrices=np.eye(2),
observation_matrices=obs_mat,
observation_covariance=10**3,
transition_covariance=0.01**2 * np.eye(2))
thanks
