REQUIRE A SCRIPT THAT WILL RUN AUGMENTED DICKEY FULLER ANALYSIS (COINTEGRATION)

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Hey there,

Hoping someone can assist me with writing a script that I can include in my EA’s / indicators.

I’m wanting a script that will calculate the result (p value) of the Augmented Dickey Fuller (“ADF”) test & the Augmented Engle-Granger (“AEG”) test.

I know this can be done in python but have not been able to replicate it myself using MQL5 language, I’ve included some resources below for reference.

Thanks,


https://www.statology.org/dickey-fuller-test-python/

https://www.machinelearningplus.com/time-series/augmented-dickey-fuller-test/

https://kidquant.com/project/pairs-trading-strategies-in-python/



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