I am working on my own trading analyses software and currently are investigating co-integration.
I know what it does and it sounds interesting, however i am not a math guru. however i can find my way in progamming.
The problem is that i cannot convert the steps or calculation for the johansen test methode to easy steps.
I there a math person that can make the complete formula easyer ?
i hade the same problem with correlation , after a long analyses of the documents etc i converted it to easy steps like :
for every value and then to calculate it :
Is there somebody that can help me with the co-integration formula's to convert it to small steps ?
I know what it does and it sounds interesting, however i am not a math guru. however i can find my way in progamming.
The problem is that i cannot convert the steps or calculation for the johansen test methode to easy steps.
I there a math person that can make the complete formula easyer ?
i hade the same problem with correlation , after a long analyses of the documents etc i converted it to easy steps like :
for every value
QuoteDisliked$totalX +=$corrX;
$totalY +=$corrY;
$powX =pow($corrX,2);
$powY =pow($corrY,2);
$total_powX +=$powX;
$total_powY +=$powY;
$XY=$corrX*$corrY;
$totalXY +=$XY;
QuoteDisliked$varianceX= $total_powX / $count - pow(($totalX / $count),2);
$varianceY= $total_powY / $count - pow(($totalY / $count),2);
$covarianceXY = ($totalXY / $count) - ($totalX * $totalY) / pow($count,2);
$correlation= $covarianceXY / sqrt(($varianceX * $varianceY));
$slope = ($count * $totalXY - $totalX * $totalY) / ($count * $total_powX - pow($totalX,2));
