This is a summary of links featured on Quantocracy on Thursday, 09/19/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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How To Make A Kalman Filter in R for Pairs Trading [Robot Wealth]Anyone whos tried pairs trading will tell you that real financial series dont exhibit truly stable, cointegrating relationships. If they did, pairs trading would be the easiest game in town. But the reality is that relationships are constantly evolving and changing. At some point, were forced to make uncertain decisions about how best to capture those changes. One way to incorporate both
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A simple algorithm to detect complex chart patterns [Philipp Kahler]Finding complex chart patterns has never been an easy task. This article will give you a simple indicator for complex chart pattern recognition. You will have the freedom to detect any pattern with any pattern length. Not just 2-bar candlestick formations, but complex stuff like V-Tops spread over 20 bars. Defining a chart pattern I am using a simple string definition of a pattern. See the example