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
-
Updated
Jun 7, 2026 - Python