Trading Research based kalman filters. The intuition is explained in a writeup in this notebook demonstrating a toy example and then very encouraging results on real data.
Modules called in order:
python GetBasicData/exec_basic_data.py
python GetBasicData/exac_add_data.py
python SimulateTrades/trade_logic.py
python SimulateTrades/get_returns.py
"Choose your own adventure" for variable names for versioning and running new tests