Cointegrationk-means clusteringRTrading strategies
Pairs Trading Literature Review
This post summarises the key lessons of the academic literature that has been published on pairs trading. The key themes
pairs trading
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BacktestingQuant tradingRTrading strategiesZorroKalman Filter Pairs Trading with Zorro and R
In the first three posts of this mini-series on pairs trading with Zorro and R, we: Implemented a Kalman filter
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CointegrationQuant tradingTrading strategiesZorro
Pairs Trading in Zorro
In our previous post, we looked into implementing a Kalman filter in R for calculating the hedge ratio in a
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BacktestingCointegrationQuant tradingRTime series modellingTrading strategies
Kalman Filter Example:
Pairs Trading in RThis Kalman Filter Example post is the first in a series where we deploy the Kalman Filter in pairs trading.
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CointegrationQuant tradingRTime series modellingTools of the tradeTrading strategies
Practical Pairs Trading
Some price series are mean reverting some of the time, but it is also possible to create portfolios which are