Recent content by DBS67

Intraday, yeah, effective. EoD tougher. A bitch to install/setup. NB: Have a financial interest in the software so you should discount any bias you detect...

Steps 1 and 2 are necessary or you are open to spurious cointegration. Intra can work at different resolutions: http://www.ljmu.ac.uk/Images_Everyone/Jozef_1st%281%29.pdf Variable order matters under Engel Ganger but the software should be able to handle that. Hope this helps.

Cointegration is determined by a 'critical value' (a t-value in the form of a rational number) and an associated confidence level (decimal). Dickey Fuller is a test for unit roots. It does not produce output that says this pair is x% cointegrated. Yet a few sites do indeed tout what looks...

No conflict of interest in either Yahoo or IQ but one with the software - got a financial interest.

Better example. TVE/DTE not cointegrated under Yahoo: Yet cointegrated under IQ:

Second that.

With less than 6 months data S&P Transports will not give stable results. Nor will a single number (which is what? the confidence interval?) convey the tradeability of a cointegrated pair.

Thanks, Kevin. This is a non-commercial piece of custom coding. But it's not really the software that matters as much as getting the math & stat right. If that's sound it can be set-up in a bunch of different platforms. That said, in my view the ergonomics of producing scans, running...

@amitkumar, What time range are you using for those 3 pairs? I cannot say how the single PTF number is calculated. But a cointegration analysis usually produces more output. I looked at your examples since 2001, 2007 and 2009 using the Engle-Granger method. Only KFY/RHI passes on the...

Cointegration cannot usefully be reduced to a single number. The PTF promos said it would be "dumbed down" but oversimplifying runs the risk of misleading.