Cointegration
Author: weso
Creation Date: 10/3/2010 1:06 PM
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weso

#1

10/3/2010 1:06 PM

hi there, anyone got code for calculating the cointegration between pairs of stock price series?
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ajrdwv07

#2

4/26/2016 9:20 PM

I did not find follow up of this. I would like to know how to build a cointegration test within wealth lab or at least how to create a regression between two assets in order to get the hedge ratio. Log (asset1) = alpha + beta * Log (asset2) + e. then how to use the residuals in order to create a z-score in order to use different levels to backtest the strategy.
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Eugene

#3

4/26/2016 9:47 PM

Sounds like many building blocks can be found in Community.Indicators:

+ Log
+ Alpha
+ Beta
+ Z-Score is an auxiliary DataSeries (see Correlation.cs, AggZ.cs, MACZ.cs in its open source code)
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ajrdwv07

#4

4/26/2016 10:12 PM

Thanks. I have something to start working. Cheers.
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