Co-integrated pairs trading system

should i make a vid on how to install the libraries?

Yes, please

Ok, i will start the vid now.

Thank you for sharing this! Can't wait to try this out.

You mention the slope will vary over time. In your video you use about 45 days to calculate the current slope. Would that be typical amount of lookback to use? So a sliding window of 45 days?

There's an EA in this thread which takes MT4 data and sends it to R for co-integration analysis:
http://www.forexfactory.com/showthread.php?t=363198

Lol, I just remembered an old tale my father once told me. " An old man tells his 3 sons on his deathbed that he will leave them with inheritance of gold coins, but he forgot where he buried the gold. Now the man owns a huge patch of land so he tells the boys that they have to search the whole area to find the gold and he passes away. The boys get to work in a hurry and they dig up the whole land but there is no gold to be found. However the youngest boy tells his brothers not to be sad, since they dug up the whole land now they could plant corn on the field. So they do and when it comes to reap what they sow they find out that they became rich."

Why did I tell this story? Well I've spent about 4 years trying to trade forex while blowing 2 accounts and still couldn't go 1 foot ahead. If I went to school during that time I might have learned something useful. And with all the complicated calculations with slopes and mathematical equations that I see people talk about here I just figured out that you guys have become math experts but I don't see you going too far in becoming forex experts. So my 2 cents? use that knowledge that forex has forced you to learn and use it somewhere it will do good.

I use a genetics optimization to compute the ideal sample size. None the less, any amount greater than 30 days would work. And yes, the slope will change due to macro-economic factors, which can be used to forecast the future slope. This would be a great place for someone to take the project that I would love to see

I loved the story!

thanks,

Actually you seemed to be going more than 1 foot with 3.8% lol.

aroxalot can u release the EA?

Thanks for the system. It'll be easy if EA do that for us.

HERE IS THE EA

This project is now open source: https://github.com/freepromtech/statarb/tree/master

EDIT: YOU WILL NEED PROCESSING TO RUN THIS
Processing:https://processing.org/
Apache HTTP Components: https://hc.apache.org/

You will need to install controlP5 library for processing.