Thanks Mwduke, I had posted this a few pages ago.
Please everyone trading baskets run it through this test before spending time trading it. Randomly pairing up baskets is a waste of time, as mentioned baskets that are not cointegrated will not be profitable using this method.
Please everyone trading baskets run it through this test before spending time trading it. Randomly pairing up baskets is a waste of time, as mentioned baskets that are not cointegrated will not be profitable using this method.
DislikedI found a very simple walkthrough of how to run cointegration tests in R. I just used the CSV output data from my Metatrader 4 History Center, for two pairs, and it worked perfectly. It uses the ADF Test to give you a p-value for the "cointegration" of the two pairs (i.e., time series data) you enter. So far I've tested many combinations of pairs, and the cointegration test worked perfectly and was very easy to understand. Here's the link to the walkthrough:
http://quanttrader.info/public/testForCoint.html
You want the final p-value...Ignored
Skype: heliosphan187