c0d3: Seems that not many people even know what cointegration means. I didn't either about a year back, since then i have developed co-integration analysis in Matlab for forex or NYSE. I have gone as far as writing a script to run cointegration on the whole 9,000,000 combination of stocks on NYSE, in about 8hrs. Similar to a hedge fund? My reseach shows, hedge funds do global analysis in about 4hrs. Forex is easier since there are limited number of time series. If you are serious about developing co-integration analysis software, buy a student version of Matlab, and download this free toolbox specific for cointegration http://www.spatial-econometrics.com/. They have a complete set of econometric analysis functions, and at first it is going to be confusing, but study ADF and CADF functions, that should give you a huge start i didn't have. It took me a while to understand how to interpret the results. My mistake is: doing analysis on high frequency data, and never actually trading the research of cointegration pairs. I might go back to it a lil later, but co-integration does exist between currency pairs, and it is not necessary USDCHF and EURUSD, you will be surprised which pairs have mean-reversion. If you are interested i can sell you the code that i have developed, it does everything for analysis for entry & exit conditions, as this strategy is exactly the same as a hedge correlation strategy, except the analysis is a bit different.
暂时潜入forexfactory.com，它很有趣，没有水灾。例如，这里有这个主题：外汇中的协整。
P.S. 还有一个关于协整#回归的博客链接。的确，这个链接已经坏了。
不幸的是，ForexFactory上几乎没有关于这个问题的内容。
从这里开始。
你可以在那里的链接中找到关于回归、相关和更多的例子、图表和Excel文件的咀嚼材料。
以上两张图表明，你不需要计算大周期的相关性。我们应该建立BP质量控制，并对其进行分析，从那里会得出协整关系。即合成的简单重排。
不，不，有一点是对的。也许这都是胡说八道，但读起来很有意思。
c0d3: Seems that not many people even know what cointegration means. I didn't either about a year back, since then i have developed co-integration analysis in Matlab for forex or NYSE. I have gone as far as writing a script to run cointegration on the whole 9,000,000 combination of stocks on NYSE, in about 8hrs. Similar to a hedge fund? My reseach shows, hedge funds do global analysis in about 4hrs. Forex is easier since there are limited number of time series. If you are serious about developing co-integration analysis software, buy a student version of Matlab, and download this free toolbox specific for cointegration http://www.spatial-econometrics.com/. They have a complete set of econometric analysis functions, and at first it is going to be confusing, but study ADF and CADF functions, that should give you a huge start i didn't have. It took me a while to understand how to interpret the results. My mistake is: doing analysis on high frequency data, and never actually trading the research of cointegration pairs. I might go back to it a lil later, but co-integration does exist between currency pairs, and it is not necessary USDCHF and EURUSD, you will be surprised which pairs have mean-reversion. If you are interested i can sell you the code that i have developed, it does everything for analysis for entry & exit conditions, as this strategy is exactly the same as a hedge correlation strategy, except the analysis is a bit different.
从我的角度来看，只是整个事情是无稽之谈。在配方上拉伸市场，没有任何理由。没有关于可交易性的研究。只显示了 "拉动 "的不同变体。
请注意，主要问题，即真实市场和随机市场之间的区别，根本没有得到解决。投资组合理论和相关-分散-回归分析 的恶性影响到处可见。而且页数越多，矩阵代数，积分符号和模型（GARCH之类的）越酷。
然而，这真的很简单。我还没有遇到过协整的数学定义。我会试着给一个...
底部的窗口显示了与上面窗口中的权重的合成。在垂直蓝线之间是合成构造区间，线后是OOS。
我说我们需要合成物不迅速失去其属性，是指在OOS上，它的行为与它在构建区间的行为类似。见。
下面的水平虚线是合成的OOS在构建区间的水平。因此，我们所看到的。绘图区间越向右（向左--如果我们是对过去而不是对未来进行交易），合成属性（水平通道）越强。我们可以看到，在通道的右边界，合成的价格超过了-SCO水平（我们可以采取另一个水平）。为什么不在那一刻买下合成物？我们买下它。我们等待合成 "崩溃" - 价格将归零（红色小三角）。退出岗位。就这样，我们不再使用这种合成物了。在每个酒吧，我们将有一个新的合成。我上面提到的视频显示了这一切的动态...
而现在关于协整的明确定义，由于某些原因，现在还找不到。请看施工区间的合成图（放大）。
其局部极值由白线和绿线连接。极点的连接方式如下。
1.设置N 的值--极值与合成零点（通道中心）的最小距离。
2.所有匹配的极点应以这样的方式连接，即相邻的极点位于零的不同边。
几个FI的共同整合是指在其构建的区间内，通过交易这些FI的合成可以获得的利润。只要交易规模不低于2*N。
也就是说，在我们的案例中，协整等于白色（绿色-更大的N）曲线的膝盖之和。
那么，就会立即希望得到一个具有最大协整度的合成。但这是正确的吗？上面你看到的是一个差异性最小的合成物。如上所示，这种合成方式利用了市场关系。最大协整的合成会不会使用市场的相互关系？我不太清楚。
寻找具有最大协整度的合成的数学问题属于优化类问题。它是通过数值方法解决的。
一个简单的例子，更大的利润？
不过，在OOS之后添加FI图表--你会发现有更大的利润可言。
从截图上的一组指标来看，你是否在使用杂志http://forum.leprecontrading.com/viewforum.php?f=92&sid=d2bc9794e202988999bcda23ebf96700 "MT4准套利 "中描述的想法？