Not the Grail, just a regular one - Bablokos!!! - page 65
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I.e. it takes deviations from the MA, which is known to be a stationary process.
I don't know from where, could you please indicate the source of such information?
As far as I understand, it is essentially something like cluster indicators. It does not analyse the cointegration of the price series themselves, but is based on the price returning to the moving average.
Co-integration is the property of return to the moving average.
It's described here.
Cointegration characterises the equilibrium relation of two variables, because in order to be stable, if they deviate from their equilibrium relation, they will have to return to it, so that it fluctuates around a certain (constant) mean. This tendency to return to equilibrium is known as error correction. A model of this process is accordingly called an error correction model and corresponds to the interesting property of stationarity - the return of stationary series to the mean.
To understand the identity of stationarity and return to the mean, consider equation (1) used to test for stationarity, neglecting the effects of autocorrelation........
Well plot the EURUSD-iMA(EURUSD,...) for example. It's all obvious to me.
Another psychic.
I have to disappoint you. There are a large number of stationarity tests, which are far from always giving an unambiguous result.
cointegration is the property of return to the average price.
it is described here
Cointegration characterises the equilibrium relation of two variables, because in order to be stable, when and deviate from their equilibrium relation, they will have to return to it, so that it fluctuates around a certain (constant) mean. This tendency to return to equilibrium is known as error correction. A model of this process is accordingly called an error correction model and corresponds to the interesting property of stationarity - the return of stationary series to the mean.
To understand the identity of stationarity and return to the mean, consider equation (1), used to test for stationarity, neglecting the effects of autocorrelation........
Only "average price" and "moving average" are slightly different things. In the text you cite, it is a constant average. A moving average is a variable. More precisely, it is an average only within a given period. So I was not talking about cointegration of price series, but cointegration of deviations from MA.
Another psychic.
I have to disappoint you. There are a large number of stationarity tests which do not always give an unambiguous result.
Only "average price" and "moving average" are slightly different things. In the text you cite, it is a constant average. A moving average is a variable. More precisely, it is an average only within a given period. Well in principle this situation is similar to moving window in faa1947, only there coefficients are changed.
Well it is clear, that we are talking about ideal stationarity there. When we are talking about temporal (which is closer to reality), or as it is called quasi-stationarity, then the sample average makes sense.
The idea of trading one instrument against several others is particularly interesting. I was having trouble understanding how to trade a pair if there is a synthetic that is not being traded against the instrument being traded. It is now clear how to do it.
This is described in detail with "live" examples in Leprecon Review #10 Issue: 23 October 2010.
http://www.lepreconreview.com/arhiv-jyrnala/year/2010 see S. Ogarkov's articles:
QuasiArbitrage in MT4 (part 8) p65,
Triple spread profitability indicator, p.75.
So you are saying that this row is not stationary? Prove it.
This is described in detail with "live" examples in Leprecon Review #10 Issue: 23 October 2010.
http://www.lepreconreview.com/arhiv-jyrnala/year/2010 see S. Ogarkov's articles:
Quasi-arbitrage in MT4 (part 8) p65,
Triple spread profitability indicator, p.75.
This is described in detail with "live" examples in Leprecon Review #10 Issue: 23 October 2010.
http://www.lepreconreview.com/arhiv-jyrnala/year/2010 see S. Ogarkov's articles:
Quasi-arbitrage in MT4 (part 8) p65,
Triple spread profitability indicator, p.75.
It's hard to tell anything visually. It's easier to write an advisor and the balance will tell you everything.