Trading the cointegration 31 replies
Pairs of Currency Pairs 4 replies
Dislikedok thanks knocks
so it seems that i have to use mathlab for this....
can you tell more about your mean reversion trading style
p1c=iClose(pair1,timeframe,i)-iClose(pair1,timeframe,i+1); p2c=iClose(pair2,timeframe,i)-iClose(pair2,timeframe,i+1); Cspread[i]=p1c-p2c;
DislikedUsing the definitions of the concept...Ignored
DislikedYou can't have read the links very well, testing for co-integration even in its simplest form would involve running a regression of one price against another then testing the residuals for mean reverting behavior, not simply subtracting the prices.Ignored
DislikedVery interesting. I currently use a toolbox in MatLab to perform cointegration analysis.
I am not as familiar with coding in MT4; if you have time could you possibly code a script to perform a simple pair trade with various securities and time frames? PM me if you need assistance with the logic on a pairs trade.Ignored
DislikedHi knocks420 what matlab toolbox do u use for the coint tests?Ignored