Hi seriousall, I noticed your profile and would like to offer you my project. It involves a trading strategy based on a Kalman filter as described in a recent academic paper. I would like the project to include:
1. R code of the Kalman filter (specified as Kalman filter "4" in the paper)
2. R code of the trading strategy and backtest
3. Replication of results using the parameters provided in the paper.
We can discuss any details over chat -- I will send you the paper and E-mini contract data in CSV format. Thanks so much!