Produits publiés
What it does: Scans a fixed list of assets (24-hour US stock pairs from the Pepperstone brokerage) on the chosen timeframe. For each pair and for various periods (Period1…Period100 ABOVE) it: Calculates a regression model between the two assets (and, if desired, using the US500 index as a normalizer). Generates the residual (spread) of this relationship, its mean, standard deviation, correlation, and betas (B1 and B2). Applies an ADF test to the residual (cointegration/stationarity). Calculates
Scan a fixed list of assets (Ibovespa) in the chosen timeframe (TimeFrame). For each pair and for various periods. Calculate a regression model between the two assets (and, if desired, using the bova11 index as a normalizer). Generate the spread of this relationship, its mean, standard deviation, speculative deviation, and betas (B1 and B2). Apply an ADF test without exclusion (cointegration/stationarity). Calculate the Z-score of the current exclusion (how many standard deviations are away from