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
4,599 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).

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

Thanks Kevin..

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.

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

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2022 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.