├── .gitignore ├── .idea ├── .gitignore ├── inspectionProfiles │ └── profiles_settings.xml ├── misc.xml ├── modules.xml ├── statarb.iml └── vcs.xml ├── LICENSE ├── Pairs_Trading_Strategy_Backtest.ipynb ├── Pairs_Trading_Strategy_Notes.ipynb ├── README.md ├── data └── data.csv.gz ├── ou_lsq_est.py ├── ou_seq_ols.py ├── ou_strategy_simulation.py ├── ref └── RLS.pdf ├── src ├── estimation │ ├── coint_johansen.py │ ├── kalman_filter.py │ ├── linear_algebra_tools.py │ ├── ou_parameter_estimation.py │ └── rls.py ├── optimal_controls │ ├── ou_params.py │ ├── ou_spread_model.py │ ├── ou_spread_model_output.py │ └── ou_spread_model_parameters.py ├── portfolio │ ├── contract.py │ ├── portfolio.py │ ├── position.py │ ├── position_info.py │ ├── trade.py │ └── utilities.py └── simulation │ ├── geom_brown_motion.py │ ├── ornstein_uhlenbeck.py │ ├── simulate_cointegrated_assets.py │ └── simulate_pairs_trading.py ├── test └── test_main.py └── utils └── plot_utils.py /.gitignore: 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