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Old 13-03-2015, 08:39 PM
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Originally Posted by nTuple View Post
plz update us accordingly
someone coded for nt7 with alglib on bmt

the link

http://www.ninjatrader.com/support/f...ad.php?t=24824
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Old 13-03-2015, 08:56 PM
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Originally Posted by nTuple View Post
can we pair them or not
p-value should be nearly 1 not to pair

Best pairs are those whose p value comes as 0.01

look at the bnf and bnf spot or nf and nf spot ADF test result and u will know

see post #14

rgds

Last edited by sr114; 13-03-2015 at 09:02 PM.
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Old 13-03-2015, 09:00 PM
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Originally Posted by sr114 View Post
Best pairs are those whose p value comes as 0.01

look at the bnf and bnf spot or nf and nf spot ADF test result and u will know

http://http://www.inditraders.com/214559-post14.html

rgds

need to find which one to pair ?
what if we vary in qty ?
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Old 13-03-2015, 09:08 PM
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Originally Posted by nTuple View Post
need to find which one to pair ?
what if we vary in qty ?

Code:
between Banknifty futures and Nifty Futures

	Dickey Fuller Test Statistic 	= -1.66057
	p-Value			        = 0.722049
	Lag order			= 9
look i am following this - it will not be a ideal pair - but its maintaining the ideal mean reversion

rgds
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Old 13-03-2015, 09:11 PM
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Originally Posted by sr114 View Post
Code:
between Banknifty futures and Nifty Futures

	Dickey Fuller Test Statistic 	= -1.66057
	p-Value			        = 0.722049
	Lag order			= 9
look i am following this - it will not be a ideal pair - but its maintaining the ideal mean reversion

rgds

so how to adjust qty to get a ideal pair
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Old 13-03-2015, 09:18 PM
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Originally Posted by nTuple View Post
so how to adjust qty to get a ideal pair

may be 1 option - price neutrality [ equal or near equal price*lot].
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Old 13-03-2015, 09:30 PM
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Originally Posted by sr114 View Post
may be 1 option - price neutrality [ equal or near equal price*lot].

can u test it ?

as jj bhai told we could adjust them as per volatility ....
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Last edited by nTP; 13-03-2015 at 09:34 PM.
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Old 13-03-2015, 09:33 PM
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Originally Posted by nTuple View Post
can u test it ?

not so fast - only 2 days in the learning curve - so certain slowness required - or the whole process will be ruined
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Old 13-03-2015, 09:48 PM
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Originally Posted by sr114 View Post
not so fast - only 2 days in the learning curve - so certain slowness required - or the whole process will be ruined

so it shows COINTEGRATED TIME SERIES or not
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Old 13-03-2015, 10:00 PM
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Originally Posted by sr114 View Post
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

it proves we should buy ETF with future and they are cointegrated
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