Author Topic: Kalman filter based pairs trading model  (Read 2907 times)

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Kalman filter based pairs trading model
« on: November 25, 2014, 12:03:51 pm »
We have just released the upgrade of the backtester which now supports Kalman filter based model.
This model is mentioned in the pretty cool book called Algorithmic Trading: Winning Strategies and Their Rationale written by Ernie Chan.

Example of the backtest from the book: https://www.pairtradinglab.com/backtests/VHSr4kJ8tya2ap4R

The implementation should be for now treated as experimental, there may be some bugs or issues. Also, Kalman model is not yet supported in portfolio backtester nor PTL Trader, but it will be implemented soon.

References:
http://www.amazon.com/dp/1118460146/ref=as_sl_pd_tf_lc?tag=quantitativet-20&camp=14573&creative=327641&linkCode=as1&creativeASIN=1118460146&adid=1CWM7P466WXGVFFYQFQF
http://epchan.blogspot.com
https://www.quantopian.com/posts/ernie-chans-ewa-slash-ewc-pair-trade-with-kalman-filter