Ernie Chan's EWA/EWC Pair Trade with Kalman Filter

In order to try the example in Ernie Chan's book( Algorithmic Trading: Winning Strategies and Their Rationale), I developed a paris trading on EWA/EWC. I didn't do the cointegration test and I just assume there is cointegration according to the book.

The performance is bad because the average win is not high enough comparing with the transaction cost. In this example the transaction fee is as high as 68% of the total profit. 

Update Backtest

Update Backtest


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