data = pd.read_csv("http://web.pdx.edu/~crkl/ceR/data/usyc87.txt",index_col='YEAR',sep='\s+',nrows=66) coint_test1 = coint(c, y, trend='ct', autolag='AIC') coint ...
It's Trading Strategy Tuesday! We wrote a step-by-step guide on how to build a pairs trading strategy in Python, including: - Running the Engle-Granger cointegration test - Constructing static and ...
Universe generated: 12 series × 3,000 bars Screening 15 pairs... 4 cointegrated pairs found. Pair Corr EG-p β HL(d) entry-z EURUSD/GBPUSD 0.891 0.0231 0.7412 18.4 2.100 AUDUSD/NZDUSD 0.924 0.0118 ...
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