Cointegration Quant Tracker ADF and Hurst
- Göstergeler
- Thiago Lopes
- Sürüm: 5.0
- Güncellendi: 17 Mart 2026
- Etkinleştirmeler: 5
Caicai Cointegration Quant Tracker
Important Notice: This indicator is an integral tool of the automated EA Caicai Long and Short Pair Trading. If you want the full automated solution, visit the EA page!
A robust quantitative tool designed to validate Pair Trading operations. This indicator brings advanced mathematical analysis to your charts, ensuring you only trade pairs with a true statistical edge. It calculates essential metrics to validate if two assets are truly cointegrated and suitable for mean-reversion strategies.
Main Features:
- ADF Test (Augmented Dickey-Fuller): Calculates the T-Stat to assess the stationarity of the series.
- Hurst Exponent: Measures the strength of the spread's mean-reverting characteristics.
- Visual Feedback: Plots both metrics continuously so you can visually confirm when a pair enters or leaves a cointegrated state.
Input Parameters:
- InpSymbolY: The ticker of the first asset (Dependent Variable). Ex: PETR4
- InpSymbolX: The ticker of the second asset (Independent Variable). Ex: VALE3
- InpQuantSamples: Number of samples/bars used to calculate the ADF Test and Hurst Exponent (Default: 100).
How to Use:
Attach the indicator to any chart and input the two symbols you wish to analyze. Look for periods where the ADF T-Stat goes below your critical threshold (indicating stationarity) and the Hurst Exponent is below 0.5 (indicating mean-reversion). Do not trade pairs that fail these mathematical tests.