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no
경험
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2
제품
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4
데몬 버전
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0
작업
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0
거래 신호
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0
구독자
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프로필 또는 사용자 검색을 통해 친구를 추가하면 친구가 온라인 상태인지 확인할 수 있습니다
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
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