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Old 13-03-2015, 01:27 PM
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Never Bother
got the answer googling

thanx
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Old 13-03-2015, 01:57 PM
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Originally Posted by sr114 View Post
Never Bother
got the answer googling

thanx

plz share knowledge with us. mujhe thodi si info chaiye.
have u coded it in ami too?
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Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

Consider us a dumb -dumble guy in this analysis, any type of real time example will be quick-learn approach.
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Old 13-03-2015, 02:25 PM
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Originally Posted by nTuple View Post
plz share knowledge with us. mujhe thodi si info chaiye.
have u coded it in ami too?

For the ADF test - google to get a vba based excel sheet [ called adftest] for the adf test. [or look web-reg.de for the excel add-on]

go for Gretl for the other stuff - the OLS and the Cointegration (Engle Granger or Johansen ) test.

for coding it in ami - its a simple mean reverting system [ means it is based on the mean of the spread and its standard deviation] and anybody with basic ami knowledge can do it [ in fact u can overlay the ma on the spread to get the charts]

now the main part - have to look for the pair selection in the fno universe and its a tedious job and may be ami exploration can help me in doing this searching.

if the time series operation can be ported to ami - the job will be easier and if not that happening then have to learn R / Matlab for this.

[ who knew that trading means having such serious learning curve (!)]

if any query arises - pls bring it out - I will try to help with my limited but growing knowledgw which in turn will help me immensely

rgds
Subroto

Last edited by sr114; 13-03-2015 at 02:50 PM.
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Old 13-03-2015, 02:32 PM
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ADF test on the following

Code:
Dickey Fuller Test Statistic

1. between Nifty Spot and Nifty Futures [near month]

	Dickey Fuller Test Statistic 	= -8.79579
	p-Value			        = 0.01
	Lag order			= 9

2. between Banknifty Spot and Banknifty Futures [near month]

	Dickey Fuller Test Statistic 	= -8.18812
	p-Value			        = 0.01
	Lag order			= 9


3. between Banknifty futures and Nifty Futures [near month]

	Dickey Fuller Test Statistic 	= -1.66057
	p-Value			        = 0.722049
	Lag order			= 9
test data from 02/01/2012 to 05/03/2015 - from the NSE FNO eod data and calculated by adftest.xlm

rgds
Subroto

Last edited by sr114; 13-03-2015 at 02:47 PM.
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Old 13-03-2015, 04:47 PM
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Originally Posted by sr114 View Post
For the ADF test - google to get a vba based excel sheet [ called adftest] for the adf test. [or look web-reg.de for the excel add-on]

go for Gretl for the other stuff - the OLS and the Cointegration (Engle Granger or Johansen ) test.

for coding it in ami - its a simple mean reverting system [ means it is based on the mean of the spread and its standard deviation] and anybody with basic ami knowledge can do it [ in fact u can overlay the ma on the spread to get the charts]

now the main part - have to look for the pair selection in the fno universe and its a tedious job and may be ami exploration can help me in doing this searching.

if the time series operation can be ported to ami - the job will be easier and if not that happening then have to learn R / Matlab for this.

[ who knew that trading means having such serious learning curve (!)]

if any query arises - pls bring it out - I will try to help with my limited but growing knowledgw which in turn will help me immensely

rgds
Subroto

mc has this indic based on time series .
are u searching same thing ?
can u run that same ADF test on iccicbank vs sbin / axisbank vs yesbank / yesbank vs techm etc.
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Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

Consider us a dumb -dumble guy in this analysis, any type of real time example will be quick-learn approach.

Last edited by nTP; 13-03-2015 at 05:08 PM.
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Old 13-03-2015, 05:07 PM
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Originally Posted by nTuple View Post
mc has this indic based on time series .
are u searching same thing ?

Mullticharts ? No i am comfortable with ai and the indi is not that important.

the main importance - is the hedge ratio and the implementation of the statistical part.

so i zeroed down to R.
all functions are available there and lot of codes %pseudo codes are available

rgds
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Old 13-03-2015, 05:11 PM
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Originally Posted by sr114 View Post
Mullticharts ? No i am comfortable with ai and the indi is not that important.

the main importance - is the hedge ratio and the implementation of the statistical part.

so i zeroed down to R.
all functions are available there and lot of codes %pseudo codes are available

rgds

plz update us accordingly
someone coded for nt7 with alglib on bmt
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Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

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Old 13-03-2015, 05:11 PM
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Originally Posted by nTuple View Post
can u run that same ADF test on iccicbank vs sbin / axisbank vs yesbank / yesbank vs techm etc.

yes why not - but will do it in the evening - till then pls wait

rgds
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Old 13-03-2015, 09:14 PM
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the ADF test of the following

Code:
Dickey Fuller Test Statistic

1. between ICICIBANK and SBIN

	Dickey Fuller Test Statistic 	= -2.03464
	p-Value			        = 0.563647
	Lag order			= 9

2. between YESBANK and AXISBANK

	Dickey Fuller Test Statistic 	= -2.95502
	p-Value			        = 0.174053
	Lag order			= 8


3. between TECHM and YESBANK

	Dickey Fuller Test Statistic 	= -1.73776
	p-Value			        = 0.689313
	Lag order			= 8
test period = 01/01/2013 to 13/03/2015 and data from NSE FNO

rgds
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Old 13-03-2015, 09:31 PM
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Originally Posted by sr114 View Post
the ADF test of the following

Code:
Dickey Fuller Test Statistic

1. between ICICIBANK and SBIN

	Dickey Fuller Test Statistic 	= -2.03464
	p-Value			        = 0.563647
	Lag order			= 9

2. between YESBANK and AXISBANK

	Dickey Fuller Test Statistic 	= -2.95502
	p-Value			        = 0.174053
	Lag order			= 8


3. between TECHM and YESBANK

	Dickey Fuller Test Statistic 	= -1.73776
	p-Value			        = 0.689313
	Lag order			= 8
test period = 01/01/2013 to 13/03/2015 and data from NSE FNO

rgds

can we pair them or not
p-value should be nearly 1 not to pair
__________________
thx
nTuple

Disclaimer: I am not a Research Analyst and not registered with any regulating authority. All posts are for educational purpose only.

Consider us a dumb -dumble guy in this analysis, any type of real time example will be quick-learn approach.

Last edited by nTP; 13-03-2015 at 09:50 PM.
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