Indicators: Cointegration - page 2

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Automated-Trading:

Cointegration:

Author: Maxim Dmitrievsky

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

 
Automated-Trading:

Cointegration:

Author: Maxim Dmitrievsky

 
961011:
thanks
 
Maxim Dmitrievsky:

I think I'll do a more interesting version after the New Year, then the article will be justified. there's not much to describe here

Does it use Johansen cointegration or just pure distribution difference?

 
franzzzz:

Does it use Johansen cointegration or just pure propagation differences?

It uses the usual linear regression calculation between instruments, over a series of prices

As I understand it, Johansen cointegration just uses a few values of each series? Like vector autoregression.
 

error during compilation:

'ArrayResizeAL' - no one of the overloads can be applied to the function call   bitconvert.mqh  76      4
'ArrayResizeAL' - no one of the overloads can be applied to the function call   bitconvert.mqh  140     4
2 error(s), 0 warning(s)                3       1

build 1881

cured by adding to arrayresize.mqh

int ArrayResizeAL(uchar &arr[],const int size)

....

didn't want to work on custom characters ((( - cured, but it may pop up sometimes when switching TF:

2018.08.01 02:12:07.279 cointegration_indicator (EURUSD,M5) zero divide in 'cointegration_indicator.mq5' (269,59)


 
Igor Makanu:

error when compiling:

build 1881

cured by adding to arrayresize.mqh

int ArrayResizeAL(uchar &arr[],const int size)

....

didn't want to work on custom symbols ((( - cured, but it may pop up sometimes when switching TFs:

try writing second_call=false in oninit;

when switching TFs, the old data is not cleared somewhere.

 

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 

 
Can I use only two pairs? instead of three?
 
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!
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