I find the topic https://www.quantopian.com/posts/ernie-chans-ewa-slash-ewc-pair-trade-with-kalman-filter that have great performance in 2006-2014.
I don't want to use kalman filter.
But I want to simplify the method using ols(Ordinary least squares) method to solve the hedge ratio. I don't know how to modify the code for this. I post my code version that hope someone can modify to the correct code.
Anyone know how to get great backtest for 2006-2014 like "ernie-chans-ewa-slash-ewc-pair-trade-with-kalman-filter".
Anyone can help me.
Thank you very much.