---
title: "Dude, just give me the cointegration percentage"
url: https://arb-maker.com/archives/524/
description: "Dude, just give me the cointegration percentage Posted by Admin on Oct 18, 2011 in Beta News! | No Comments Robert Engle III Clive Granger “Dude, you can…"
published: 2026-08-10
updated: 2026-08-10
---

# Dude, just give me the cointegration percentage

Published 2026-08-10

Posted by Admin on Oct 18, 2011 in Beta News!

Robert Engle III

Clive Granger

*“Dude, you can get cointegration measures from at least 4 different products and services on the net – and they all boil it down to a single percentage for me.”*

If that’s your view, please go back and check that percentage carefully. Cointegration cannot be usefully reduced to a single number. If you are relying on that percentage and calling it cointegration what you likely have is the result of a statistical test called the Augmented Dickey Fuller (ADF) test. Don’t take our word for it: ask the provider of the stat what’s behind it.

An ADF test is not by itself a test for cointegration. Happily, at least one of those services does at least describe the ADF method they are using as a *probability*that a pair is cointegrated (which is also an arguable contention).

This is a very, very important distinction. Cointegration tests require analysis of **residuals** (see our [glossary](https://arb-maker.com/support/glossary-3) for the definition if needs be). For example, ADF testing the pair JOYG/DV returns an alleged cointegration of over 96% according to promoters of this method (with the number coming direct from one of their services). Sounds fantastic!

Unfortunately, JOYG and DV are not, in fact, anywhere near cointegrated – which a test of the residuals using the Engle Granger method would show. And that’s the case over the last year, 2 years, 3 years, 4 years, 5 years, 6 years, 7 years, 8 years, 9 years and 10 years. Earlier data is not available.

There are many ways to skin a cat. A service that talks about cointegration based on a single figure might still be making a great overall tool for its users. But it won’t be one that uses the cointegration analysis invented by Nobel Laureates Mr Engle and Mr Granger.

[All 150 archived ArbMaker News! posts](https://arb-maker.com/archives/category/arbmaker-news/)