Rebalance Ep 13: Kalman Filter & New Competition

Rebalance is a weekly flash briefing of new features and updates for you, our QC community.  In our 13th episode we’re happy to share:

  1. Our second Alpha Streams contest, the Liquid ETF Competition, is live and accepting submissions through mid-December! At the same time, we are working on enhancing our alpha streams submission review process. Areas which need review will now be shown as a simple submission checklist for your alpha.
  2. Bug fixes! Our engineering team is always making improvements to LEAN. Recently, we fixed a bug with the SetHoldings() method so the orders will be placed in order of margin impact, rather than symbol list order. This makes cash allocation more logical. We also made consolidator items respect the order items are inserted. This way, you can guarantee order execution of multiple consolidators.
  3. A new pairs trading template! In this week’s “From Research to Production” Jack uses a Kalman filter to predict pairs trading hedge ratios. The Kalman filter takes measurements over time and estimates unknown variables using a joint probability distribution of the variables for each timeframe. It can be used instead of a moving average indicator and could be a great next step in your algorithm design. You can find the new template here.
Sherry Yang

By: Sherry Yang

08.11.2019
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