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I found this with a search, haven't gone through it myself though http://tradingwithmatlab.blogspot.com/2009/12/pairs-trading-cointegration-testing.html When you say coefficient, do you mean the vector, which is your hedge ratio. For ADF, I think you can use a student's t(?). Someone...

it was an interesting session. I accidentally left a position on overnight, so I'll have to see how it is today. do you trade this through IB by chance? IB lists two exchanges, KSE and KSELDNG(?), but I would like to understand what that second one is.

just put on a test trade, to get a feel for the pv and commissions. yes, too lazy to look it up. wow this thing is crazy, anyone trade these as bread and butter. looks very interesting

thanks for the post atrocious. this is surprising. I hope ib will actually correct this

hey bv, i'm moving to the sf area and am also contemplating trading on my own. any luck with your search?