Upgrade news: intra-day cointegration algo in action
The most requested upgrade feature has been an intra-day version of the cointegration algorithm. The testing is meticulous work – transaction times must be cross checked internally by the code and then verified against external feed logs by us. But the results are interesting (this is IQ data):
This is a 15 minute plot of 1500 observations for the forex pair of AUDCAD/AUDNZD.
And here is another forex example taken at the 1 minute resolution. We believe with our next upgrade later this year it will be possible to run sub 1 minute cointegration scans fast enough for the results to be tradable.
Finally, an example in equities at the 30 minute resolution:
Coding and testing continue…
