Intraday, yeah, effective. EoD tougher. A bitch to install/setup. NB: Have a financial interest in the software so you should discount any bias...
Steps 1 and 2 are necessary or you are open to spurious cointegration. Intra can work at different resolutions:...
Cointegration is determined by a 'critical value' (a t-value in the form of a rational number) and an associated confidence level (decimal)....
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: [img] Yet cointegrated under IQ: [img]
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?)...
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 &...
@amitkumar, What time range are you using for those 3 pairs? I cannot say how the single PTF number is calculated. But a cointegration...
Cointegration cannot usefully be reduced to a single number. The PTF promos said it would be "dumbed down" but oversimplifying runs the risk of...
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