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Cointegration test for pairs

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    #1

    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
    #2
    stephen_mcse,

    I am not aware of any shared on these forums.
    Josh P.NinjaTrader Customer Service

    Comment

      #3
      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

      Comment

        #4
        The link mentioned on the previous post is not working anymore.
        Does anyone know of any existing indicator / strategy code to test for cointegration?

        Comment

          #5
          Cointegration indicator

          Hi, there is a cointegration indicator, using johansen test wich is actually better than ADF, but for now there is only a version for metatrader4. You can access the indicator in the following link

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