Indicators: Cointegration

bqFX 2019.05.25 10:22 #21

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.

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

Maxim Dmitrievsky 2019.05.25 16:51 #22

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 14:58 #23

Do you have this indicator for Mt4?

Igor Yeremenko 2020.04.04 10:18 #24

The indicator is redrawn on the history, is it supposed to be so?

Why is Z-Score a sum and not a difference?

Maxim Dmitrievsky 2020.04.07 08:51 #25

Igor Yeremenko:

The indicator is redrawing on the history, is that how it should be?

Why is Z-Score a sum and not a difference?

It recalculates on each new bar, otherwise the curves will diverge if the spread is non-stationary.

the sum of differences is only the grey line, the rest are differences.

Yevgeniy Koshtenko 2021.07.17 13:04 #26

How do I put an alert in here? The turkey is great!

Gustavo Barros Alexandre D Almeida 2023.02.12 02:56 #27

This is indicator is reversed compared to the traditional cointegration. The parents that have positive correlation behaves im reversed moved in the window chart. The pairs that have negative correlation behave equaly in the window chart. Is there anyway we can reverse that? We can see below AUDUSD x USDCAD (98% negative correlated, but behaving equaly in the chart) and AUDUSD x AUDCHF (95% positive correlated, but behaving negative mirroed in the chart)

Negative correlated pairs Positive correlated pairs