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LongShort Cointegration: Long Short Based on Cointegration Statistical and Quantitative Long-Short (Pair Trading) approach for long and short positions. Your CPU will always - Français
Statistical and Quantitative Long-Short (Pair Trading) approach for long and short positions. Your CPU will always be safe and stable when using Multiple Linear Regression if you have a reliable indicator.
Based on the results of this indicator, you can execute a long and short or a long and long/short and short trade between two separate assets. It can show you a Highly informative dashboard based on Cointegration Search you determine, with all statistical data for best Results!
The indicator determines whether or not the pair is cointegrated by running a number of statistical tests comparing the assets. Be mindful that whereas BxA may not exhibit cointegration, pair AxB may. You can determine whether AxB and BxA are cointegrated to get good trading results!
(a) Check if the pairs are cointegrate by the ADF test (Augmented Dickey Fuller test). 0% means the pairs are not cointegrating. 90% and 99% mean cointegration (Greater is better).
(b) Check if beta is positive or negative and pairwise correlation. BetaRotation is shown in the magenta line drawn by this indicator.
If beta is positive, check that all correlations are positive (correlations > 0% | min > 0% | max > 0%).
If beta is negative, check if all correlations are negative (correlation < 0% | min < 0% | max < 0%).
Once the residual line (yellow) reaches the lower band, buy the main asset and sell the secondary asset (expect reversal of normalcy).
Buy the major and secondary Assets when the residual line (yellow) reaches the lower band (anticipate a normal reversal).
Lot Size Ratio
The lot size ratio is determined by Beta or BetaRotation (you need to decide which one is right for you). To find the secondary asset lot size, simply multiply the primary asset lot by the beta.
If beta 0.5 and primary lot = 10, the secondary lot size will be 5. Given the lot size of the main asset, the indicator helps in this calculation.
If you face any doubts, feel free to message me!
Have good trades!
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