Help! Can’t generate any cointegration results…

Posted by on Jul 27, 2014 in ArbMaker News! | No Comments

helpNew users of ArbMaker sometimes find this happening. There are a few reasons it occurs:

  1. The scan was for a small number of combinations. The smaller the number of pairs scanned the fewer the results. By default the ‘Coint. Scan’ screen returns only cointegrated pairs. So if it finds nothing there will be no returns. However, by ticking the ‘Bypass’ box on the ‘Coint Scan’ screen the software will return the fails also. This enables users to see at which point in the process certain pairs failed cointegration. There is a limit of 500 combinations using the Bypass but it will allow you to see what is going on with the lack of returns.
  2. The date range used uncovered no cointegrated pairs. Changing the date range will change the statistical profile of the scan returns (both the fails and any cointegrated pairs). Similarly, end-of-day and intraday scans on the same symbols will produce different results.
  3. The feed might not be configured correctly. This can be tested by going to Parameters->Symbols and clicking the ‘View’ button on one of your symbols. If the graph that appears is populated everything is OK. If not double check the configuration using the documentation instructions.


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