There's a good description of how to build a trading strategy using a Kalman Filter along with some code examples in Ernest P. Chan's book on algorithmic tradin

There's a good description of how to build a trading strategy using a Kalman Filter along with some code examples in Ernest P. Chan's book on algorithmic trading. I think it might be available for free online, although that might have just been something I was able to access through my university. I feel like I owe it a shoutout because that strategy was the foundation for an algorithm that got me and a couple friends a top finish at UChicago's algo trading competition a few years back.