The Elite Circle - CADF (Cointegration - Augmented Dickey-Fuller Test)
futures io

Categories Help    

The Elite Circle
File sharing for Elite Members only, includes any and all platforms and file types

CADF (Cointegration - Augmented Dickey-Fuller Test) 5 *
Augmented Dickey-Fuller Cointegration Indicator, Version 1.01
5/23/2012: Moved ALGLIB routines to separate ALGLIB "Indicator". No functionality changes.

This is posted for BMT Elite Members Only. Please do not share or distribute.

This indicator plots the augmented Dickey-Fuller statistic for residuals from a cointegrating regression. It can be used to show the probability that the prices of 2 instruments are "cointegrated". It would normally be used on daily data with a fairly long period.

It is based on (and was tested against) MATLAB code by James P. Lesage, posted at

Some numerical methods use code from ALGLIB (required ALGLIB "Indicator" included)

Recommended Reading: "Quantitative Trading" by Ernest P. Chan
also his blog at

The horizontal lines plotted by the indicator are the "Critical Values" for 1% (lowest line), 5% and 10% (highest line) levels. The indicator plots the statistic; lower values represent increasing likelihood of cointegration.

Category The Elite Circle 
Suggest other entries I might like
Details: CADF (Cointegration - Augmented Dickey-Fuller Test)
Category: The Elite Circle 

May 16th, 2012
Size: 647.11 KB
Downloaded: 567 times


Copyright © 2021 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada),
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.