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CADF (Cointegration - Augmented Dickey-Fuller Test)
Augmented Dickey-Fuller Cointegration Indicator, Version 1.01
5/23/2012: Moved ALGLIB routines to separate ALGLIB "Indicator". No functionality changes.
This is posted for BMT Elite Members Only. Please do not share or distribute
.
This indicator plots the augmented Dickey-Fuller statistic for residuals from a cointegrating regression. It can be used to show the probability that the prices of 2 instruments are "cointegrated". It would normally be used on daily data with a fairly long period.
It is based on (and was tested against) MATLAB code by James P. Lesage, posted at
https://www.spatial-econometrics.com
Some numerical methods use code from ALGLIB (required ALGLIB "Indicator" included)
See
https://www.alglib.net/
Recommended Reading: "Quantitative Trading" by Ernest P. Chan
also his blog at
https://epchan.blogspot.com
The horizontal lines plotted by the indicator are the "Critical Values" for 1% (lowest line), 5% and 10% (highest line) levels. The indicator plots the statistic; lower values represent increasing likelihood of cointegration.
Category
The Elite Circle
Details:
CADF (Cointegration - Augmented Dickey-Fuller Test)
Category:
The Elite Circle
May 16th, 2012
Size: 647.11 KB
1191
kevind
Comments/ratings
Big Mike
May 17th, 2012 10:17 PM
No Comment
Fat Tails
May 24th, 2012 03:05 PM
No Comment
phantomtrader
May 27th, 2012 01:18 PM
No Comment
Abde
May 28th, 2012 06:19 AM
No Comment
tukhoai
September 11th, 2012 12:59 PM
fascinating stuff. thanks so much, kevind, for sharing
tatarskejbiftek
September 18th, 2012 01:56 AM
No Comment
NJAMC
October 3rd, 2012 08:00 PM
Thanks, great work. Good to see some heavy math libraries used!
Madhatter
May 2nd, 2013 03:21 AM
No Comment
ol1v
October 26th, 2014 06:30 PM
No Comment
Farmer George
April 10th, 2015 01:49 PM
Many thanks for producing this - appreciated.
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