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Aug 22

Test cointegration with R

Posted by abiao at 04:04 | Code » R/Splus | Comments(1) | Reads(14724)
Cointegrated pairs of securities are crucial for mean reversion trading portfolio construction, Play with cointegration has several good papers to start with. Should you want to test pairs of securities for cointegration using R, here is an excellent webpage with data, code and detailed example, cheers.

http://quanttrader.info/public/testForCoint.html


Point and figure trader Homepage
Thanks, I use to plot the securities using point and figure charts and use relative strength charts to see wheteher or not they are cointegrated - not very scientific but it simplifies the charting.
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