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Hello,
If you look at my code, it seems the implementation of a kalman filter in the data looks a little weird? The linear regression has a blue line nowhere near the points on the scatter plot, and the kalman filter stationary series seems to go way outside of the upper and lower bounds from the mean. Can someone tell me if the coding is off? Thank you!
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Jing Wu
for i, b in enumerate(state_means[10:][::step]): plt.plot(np.log(data[symbols[0]]), b[0] *np.log(data[symbols[0]]) + b[1], alpha=.5, lw=2, c=cm(colors_l[i]))Jing Wu
All the pairs trading examples are available in our strategy tutorial library.
Hugo Acuna
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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