指定
my idea is to create a robot which finds cointegrated pairs using simple and multiple regression, I will give the variables.
The project is: A Robot which will scan a list of stocks or forex to find cointegrated pairs according to the augmented dickey-fuller test,
the robot will scan and then ONLY show the pairs which are out of 2 standard deviations.
The Robot also will indicate the ADF score "-4,32"; ADF%: "90%" OR "95%" OR "99%"
also will indicate the half-life of the operation
indicates the Beta of the pair and the Deviation of the residual.
Simple Regression: E = Y - (Beta.X) - A
Multiple Regression: E = Y - (Beta.X) - (Timecoef.Time) - a (which time is the number of periods)
Multiple Regression: E = Y - (Beta.X) - (Timecoef.Time^2) - a
Multiple Regression: E = Y - (Beta.X) - (Timecoef.Time) - (Timecoef2.Time^2) - a
half-life : based on ORNSTEIN-UHLENBACK
I have an excel sheet which all calculations to help develop the robot.
I have the calculations of the regressions and the half-life I can support with that
Here's a example of what I want but this indicator only searches for the best period.