lesthompson
4 posts
msg #113214
- Ignore lesthompson |
5/8/2013 8:05:07 PM
Does anyone have cointegration code for SF? I want to put together a simple daily scan for spreads and would like to include cointegration levels in the scan.
Thanks!
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Kevin_in_GA
4,599 posts
msg #113215
- Ignore Kevin_in_GA |
5/8/2013 8:26:09 PM
Short answer is that it can't be done. Try PairTradeFinder (www.pairtradefinder.com).
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lesthompson
4 posts
msg #113317
- Ignore lesthompson |
5/11/2013 7:04:39 PM
Thanks Kevin..
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Kevin_in_GA
4,599 posts
msg #113318
- Ignore Kevin_in_GA |
5/11/2013 7:58:04 PM
No problem. As a personal observation, I have not found cointegration to be all that helpful in pairs selection. I was gung-ho on it a while back, but soon moved to looking at pairs that have been high win% rather than being cointegrated. After all, what you want from cointegration is a high probability of winning, so why not simply look at past performance for pairs instead? That is much easier to do and probably as good or better at predicting the future.
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