Indicators: Cointegration

franzzzz 2018.07.30 08:49 #1

Automated-Trading:

Hi @Maxim Dmitrievsky,

Great Indicator. I just have a few clarifications.

1. If I have a mix pairs of XXXUSD and USDXXX, does it convert all USDXXX to XXXUSD?

2. Im assumming it is using Johansen test to test multiple relationships and getting the Beta to form the Linear cointegration relationship and have a basis for Z-score probability? How does it work?

Thanks!

regards,

Francis

Need help with coding OrderCalcMargin price parameter not a bad way

961011 2018.07.30 08:54 #2

Automated-Trading:

Cointegration:

Author: Maxim Dmitrievsky

961011 2018.07.30 08:55 #3

961011:

thanks

... 2018.12.03 16:05 #4

franzzzz:

1. If I have a mix pairs of XXXUSD and USDXXX, does it convert all USDXXX to XXXUSD?

2. Im assumming it is using Johansen test to test multiple relationships and getting the Beta to form the Linear cointegration relationship and have a basis for Z-score probability? How does it work?

1. no, it doesn't convert anything to the currency of your deposit, so it will not work properly for USDCHF, EURGBP, USDCAD, etc

2. no, it's using simple linear regression between multiple assets and then divide all charts by Standard Deviation to make it look like flat channel

Indicator dump by Dserg Combining trend and flat In your opinion, which

Eliasxenos 2019.03.07 22:49 #5

Can you clarify what the 0 line signifies? It's little confusing to me how the lines oscillate between positive (above the 0) and negative (below the 0) when standard deviations cannot be negative. Thanks!

bqFX 2019.05.25 08:22 #6

So, it does not give any clue whether the paired assets are cointegrated or not, doesn't it?
It just use simple regression to find the beta and coefficient, and get the error (or spread), and then divide the spread by its standard deviation to get the signal. Am I right?

Thanks Maxim.

Scripts: simple csv2fxt expert complain that"zero devide" For those who have

Maxim Dmitrievsky 2019.05.25 14:51 #7

bqFX:

So, it does not give any clue whether the paired assets are cointegrated or not, doesn't it?
It just use simple regression to find the beta and coefficient, and get the error (or spread), and then divide the spread by its standard deviation to get the signal. Am I right?

Thanks Maxim.

yes, without tests on cointegration

bananaband 2019.11.07 13:58 #8

Do you have this indicator for Mt4?