Cointegration demo videos: forex as an example

Posted by on Dec 28, 2011 in ArbMaker News! | No Comments

A a couple of video demos in reply to multiple email queries asking for them. Use the full screen option unless you have remarkable eyesight. We’ll put them up under the “Screenshots” tab in due course.

Vid 1: using the scanner, an example with forex

A basic introduction to scanning for cointegrated pairs amongst foreign exchange combinations; analysing them graphically and statistically; and then saving them to the Watchlist.

It is important to scan different time horizons: statistical relationships can be short, medium or long term with no date range necessarily precluding cointegration in another – no cointegration over, say, three years does not mean there isn’t cointegration over ten (and vice versa).


Vid 2: running and experimenting with the back tester

Having scanned and saved fx pairs to the Watchlist this video shows how one of them might be back tested with different parameters. Note that the back tester is driven firstly by the moving average period entered in the Bollinger Band graph. The parameters that are subsequently experimented with inside the back tester dialogue box (mainly the Z-score in this example) are functions of that period average. Note, too that the currency reporting at the profit & loss level is mixed – we have not implemented a base reporting system for Forex pairs.



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