Moved to https://github.com/kalm/kalm.js
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Updated
Jan 2, 2018 - JavaScript
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kalm
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Market-neutral statistical-arbitrage engine for energy futures (3:2:1 crack spread + Brent–WTI) on LSEG data — OU mean-reversion, z-score signals, Kalman dynamic hedge ratio, look-ahead-free cost-aware backtesting (Sharpe 0.82).
python quantitative-finance kalm futures backtesting commodities statistical-arbitrage mean-re traiding-strategies
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Jun 7, 2026 - Python
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