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Cointegration Indicator
Updated: Views / Replies:6,836 / 14
Created: by kevind Attachments:0

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Cointegration Indicator

  #11 (permalink)
Elite Member
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Also, read through your blog which was very interesting. Was wondering if you ever tested cointegration as a cyclical event. You mention that cointegration is time-scale independent - do you mean that the same test run on a daily chart should have the same result on a 1 minute chart? The reason I ask is because indicators like VWAP are time-scale independent and possibly could be used for other interesting studies. Very interesting work.

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  #12 (permalink)
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Got it to work - was inputing the symbol wrong.

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  #13 (permalink)
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Getting CADF to plot


Just thought I'd throw in my findings with getting this indicator to plot.

The most important thing is that I used lowercase letters for "Symbol 2" parameter of the indicator, and it finally plotted in NT7; i.e. "6e 06-13" worked. Not "6E 06-13" nor "6E ##-##".. Nor "6E 06-13 (5 min)" etc. Haven't played with the Niag, P or Period parameters yet. The rest of the param's: I have two data series setup in the chart. A CL 04-13 (primary data series) and 6E-06-13. 5 minute chart going back 55 days.

Cointegration is some VERY good stuff. Thanks for putting up this complex piece of code here because it's a great start to get playing around with the concept in NT7. It's not easy to find a package that does it that isn't either complex math software that must be linked to the trading platform, and/or pay bucks for (ie ArbMaker) which are limited to particular brokers or only do spot forex.

Aside, I wonder if we could add a tiny piece of code to CADF allowing us to, instead of manually typing in the instrument name, selecting the indicator's parameter "Symbol 2" that gives you a pop-up a dialog box similar in manner to where you can select an input series for any indicator. I'm sure it goes somewhere in the 1,469 lines of code in this indicator.


Last edited by chrisflow; April 8th, 2013 at 03:17 AM.
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  #14 (permalink)
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Co-integration, Strategy Types

Generally, can you make short list where co-integration can be used as decision making factor? I can simply imagine a strategy working with two co-integrates time series as pair trading strategy. Is there any other use of this statistic?

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  #15 (permalink)
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Very interesting post! Hi Kevind, I am very interested in your co-integration indicator writing in C#. I am wondering if you can help integrate that code into my current C# app? I would be glad to pay you for your work


Very much appreciated!

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