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Kalman Filter attempt (I'm obviously doing something wrong, and would love some help)

Obviously my returns are ludicrous--I'm not sure I understand why--the most my algorithm should buy or sell on any given day is 20 shares of SPY. Am I misunderstanding something that I'm doing?

Thanks!

1 response

Your algorithm already blew up way before it got any return. The return was less than -100% early in the game. You did not limit your leverage in your algorithm.