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Old 24-01-2015, 11:48 AM
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Default Augmented Dickey-Fuller Cointegration Indicator

hi

possibly Augmented Dickey-Fuller Cointegration Indicator
http://www.spatial-econometrics.com/

https://www.bigmiketrading.com/downl...load.html?view
any view
any helpful details
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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; 24-01-2015 at 12:02 PM.
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Old 24-01-2015, 12:31 PM
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Cointegration is straightforward, pick two series that you think shows or should show high degree of similarity in their movement, you calculate the difference of their log prices and run the cointegration test. Look for low p-values like 0.01 which would mean that the two series are 99% cointegrated.

This is usually used for pair trading but can also be used to test indicators and divergence trading.
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Old 24-01-2015, 01:05 PM
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Originally Posted by nTuple View Post
hi

possibly Augmented Dickey-Fuller Cointegration Indicator
http://www.spatial-econometrics.com/

https://www.bigmiketrading.com/downl...load.html?view
any view
any helpful details

Bhai paani mein jitna neeche jaoge wapis aana utna mushkil hoga so use simple method with lots of blessings
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Old 24-01-2015, 03:03 PM
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What's the typical lookback like?
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Old 24-01-2015, 03:43 PM
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For eod, one to two years is fine.
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Old 25-01-2015, 01:13 PM
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=> Co-int changes would be slow to get reflected?
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Old 25-01-2015, 01:38 PM
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Originally Posted by nTuple View Post
hi

possibly Augmented Dickey-Fuller Cointegration Indicator
http://www.spatial-econometrics.com/

https://www.bigmiketrading.com/downl...load.html?view
any view
any helpful details

:
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Old 25-01-2015, 01:39 PM
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Originally Posted by praveen taneja View Post
Bhai paani mein jitna neeche jaoge wapis aana utna mushkil hoga so use simple method with lots of blessings

100% correct
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Old 25-01-2015, 01:49 PM
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Originally Posted by kkseal View Post
=> Co-int changes would be slow to get reflected?

Depends on your significance value, the higher the significance, the more stable the relationship would be.
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Old 11-03-2015, 01:09 AM
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How to interpret this result?
[time series - Bank Nifty and Nifty - close prices from 01/01/2012 to 05/03/2015. log of the prices and the differences which is tested]



pls interpret this result

rgds
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