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Cointegration test for pairs
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Cointegration test for pairs
Is there any Ninjascript code or third party addon/indicator available to do cointegration test such as ****ey-fuller?Tags: None
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CoIntegration Indicator
Stephen
There is now a NinjaTrader indicator to test for cointegration for spread trading (pairs trading). It performs an Augmented ****ey Fuller (ADF) test, returning the probability that two instruments are co-integrated.
There is a free trial you can download from the website www.professionalspreadtrading.com
Nick
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