- Driven by the Engle-Granger cointegration methodology.
- Choice of fixed or, for volatile pairs, time-adaptive beta methods
- End-of-day and intra-day scanning at multiple resolutions and observation lengths
- User choice to exclude pre-open and post-close transactions from intra-day scans
- Handles time differences across time-zones during intra-day scans (for example, permitting UK vs Europe, Australia vs Tokyo etc)
- Scan any user-chosen group within and across geographies, sectors & industries.
- Optimizes the regression process. Valid Engle-Granger regression results depend on the variable order in which they are regressed. ArbMaker manages this.
- Automatically removes autocorrelated pairs at high lags. Ignoring lag selection distorts results.
- Filter and refine scan results by R², prospective profitability, speed-of-mean-reversion, half-life, cointegrating coefficient (beta), t-values, proprietary data normality measures, spread axis crossings and 95% / 99% confidence intervals.
- Full spread analysis to establish the tradability of cointegrated pairs – knowing cointegration is present is only half the job.
- Graphical analysis tools include plots of spreads, spread Z-scores, Q-Q Normality, Variance to Model, Auto-correlation & Partial Autocorrelation Functions and Indexed Prices & Spread of the underlying securities.
- Selection of technical indicators and overlays available during spread analysis including Bollinger Bands (4 bands), Stochastic RSI, MACD and Hilbert SineWave studies.
- Can use IQFeed, MT4, Yahoo!, Google and soon Bloomberg data
