StockFetcher Forums · General Discussion · Cointegration code for SF?<< >>Post Follow-up
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!

Kevin_in_GA
4,543 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).

lesthompson
4 posts
msg #113317
Ignore lesthompson
5/11/2013 7:04:39 PM

Thanks Kevin..

Kevin_in_GA
4,543 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.

StockFetcher Forums · General Discussion · Cointegration code for SF?<< >>Post Follow-up

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